Financial Markets and International Risk Sharing



Table 5: Cyclicality of capital gains on domestic bond market

Dependent Variable

Domestic

_____________________Currency

US Dollar

____________________________________(1)___________

(2)        ~

Australia

Real rate of
capital gains on
domestic bond
market

-0.52

(1.33)
-1.83
(0.74)**
-0.73

(0.64)
-1.64

(0.83)*
-2.16

(0.79)**
-1.50

(0.62)**
-2.05
(0.99)*
-0.69

(0.40)*
-1.47

(0.72)*
-0.46
(0.76)
-4.15

Real rate of
capital gain on
domestic bond
market

-0.69
(1.21)
-3.31

(2.76)
-0.84
(0.97)
-2.57

(2.01)
-3.45

(2.24)
-0.84

(1.29)
-4.16

(2.51)
-0.63

(1.34)
-4.49

(2.39)*
0.92
(1.83)
-2.52

Austria

Canada

Denmark

France

Germany

Italy

Japan

Netherlands

Sweden

Switzerland

(2.01)*

(3.29)

UK

-0.79

2.88

(0.66)

(2.16)

US

-1.11

-1.11

(0.53)**

(0.53)**

Notes:

The explanatory variable is the real GDP growth rate. See text for definitions of all
variables. Estimation by generalised least squares with AR(1) correlated disturbances and
robust standard errors (in parentheses). Time period 1984 — 2004. Data availability varies
by country. ***, **, * denote significance at the 1, 5 and 10 percent levels respectively.
Full regression outputs are available upon request.

17



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