Table 5: Cyclicality of capital gains on domestic bond market
Dependent Variable | |
Domestic _____________________Currency |
US Dollar |
____________________________________(1)___________ |
(2) ~ |
Australia |
Real rate of -0.52 (1.33) (0.64) (0.83)* (0.79)** (0.62)** (0.40)* (0.72)* |
Real rate of -0.69 (2.76) (2.01) (2.24) (1.29) (2.51) (1.34) (2.39)* |
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.
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