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



More intriguing information

1. The name is absent
2. ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES
3. The name is absent
4. Measuring and Testing Advertising-Induced Rotation in the Demand Curve
5. Evidence of coevolution in multi-objective evolutionary algorithms
6. Improving behaviour classification consistency: a technique from biological taxonomy
7. fMRI Investigation of Cortical and Subcortical Networks in the Learning of Abstract and Effector-Specific Representations of Motor Sequences
8. Testing Gribat´s Law Across Regions. Evidence from Spain.
9. A Computational Model of Children's Semantic Memory
10. Problems of operationalizing the concept of a cost-of-living index