Table 2
Regressions of Changes in Absolute Yield Spreads of SCM Long-Term Corporate
Bond Indices on Changes in the Yield of the Constant Maturity Long-Term
Government of Canada Index and the Return on the Toronto Stock Exchange 300
Index - OLS Estimation
Table 2 reports the results of the OLS estimation of regression model (1) in which the
dependent variable is the monthly change in the absolute yield spread. This regression
model is of the following form:
∆ S = a + b ∆ Y + cI + ε,
where ∆S is the monthly change in the absolute yield spread, ∆Y is the monthly change in
the yield of the constant maturity, long-term Government of Canada index, and I is the
monthly return on the Toronto Stock Exchange 300 index. t-values are in parentheses.
Panel A reports the estimates for the entire sample, covering the 08:1976-07:2001 25-year
period. Data during this sample period are dominated by corporate bonds carrying a
standard call provision. Panel B outlines the results for the 01:1995-07:2001 sub-period,
in which bonds carrying the doomsday call are expected to dominate all indices.
are expected to dominate all indices.
_______________________________Panel A: |
09:1976-07:2001___________________________ | |||
Index |
a |
b_____________ |
c |
R2 |
AAA |
0.0057 |
-0.1447 (-4.66) |
-0.6796 (-2.21) |
0.10 |
AA |
0.0026 |
-0.1538 (-5.86) |
-0.6808 (-3.02) |
0.11 |
A |
0.0043 |
-0.1513 (-5.99) |
-0.7903 (-3.65) |
0.12 |
BBB |
0.0086 |
-0.1892 (-4.77) |
-1.0957 (-3.22) |
0.08 |
________________Panel B: |
01:1995-07:2001 | |||
Index________ |
___________a___________ |
b_____________ |
c_________ |
R2 ~ |
AAA |
N/A | |||
AA |
-0.0041 (-0.27) |
-0.2106 (-3.12) |
-0.6623 (-2.26) |
0.14 |
A |
0.0015 |
-0.1927 (-3.02) |
-0.6160 (-2.22) |
0.13 |
BBB |
0.0022 |
0.0442 |
-1.2557 (-2.87) |
0.11 |
36