Table 8
Regressions of Changes in Absolute Yield Spreads of SCM Long-Term Corporate Bond Indices on
Changes in RRBs and Other Seclected Determinants
Table 8 reports the results of both OLS and AR-GARCH estimation of regression model (4) in which the
dependent variable is the monthly change in the absolute yield spread. This regression model is of the
following form:
δs = β0 + β1∆ Ylt + β2(∆ Ylt)2 + β3∆Slope + β4I + ε,
where ∆S is the monthly change in the absolute yield spread, ∆Ylt is the monthly yield change on the long-
term Government of Canada Real Return Bonds (RBBs), (∆Ylt)2 is a convexity term, ∆Slope is the monthly
change in the spread between the constant maturity long-term Government of Canada index and the three-
month Treasury bill yield, and I is the monthly real return on the Toronto Stock Exchange 300 index. t-
values are in parentheses, m gives the degree of the autoregressive process as determined by the stepwise
autoregression method, p and q are the GARCH(p,q) parameters, Norm. Test gives the p-value for the
normality test for detecting misspecification of the GARCH model, and finally LM gives the p -value for the
Lagrange multiplier test. Panel A reports the OLS estimates for AA, A, BBB bonds, covering the 12:1991-
07:2001 11-year period. Panel B reports the AR-GARCH estimates for AA, A, BBB bonds, covering the
12:1991-07:2001 11-year period.
Panel A: 12:1991-07:2001 OLS
Index |
β 0 |
β1 |
β 2 |
β 3 |
β 4 |
R2 | ||
AA |
-0.0057 (-0.39) |
-0.0491 (-0.18) |
0.4723 |
-0.1030 (-3.86) |
-0.0058 (-1.97) |
- -- - |
0.16 | |
A |
0.0052 |
-0.0200 (-0.23) |
-0.0047 (-0.01) |
-0.0856 |
-0.0051 (-1.87) |
- -- - |
0.13 | |
BBB |
0.0219 |
0.0288 |
-0.7100 (-0.81) |
-0.2510 (-3.74) |
-0.0074 (-0.99) |
- -- - |
0.13 | |
_____________________________Panel B: 12:1991-07:2001 AR-GARCH__________________________ | ||||||||
Regression Coefficients |
AR and GARCH Parameters |
Goodness of Fit | ||||||
Index |
β 0 |
β1 |
β -2 |
β 3 |
β 4 |
m p q Norm. Test |
R2 |
LM |
AA |
-0.0042 (-0.41) |
0.0389 |
0.4067 |
-0.0988 (-4.19) |
-0.0051 (-1.86) |
1,2 - - - |
0.23 |
0.0005 |
A |
0.0074 |
0.0073 |
-0.1152 (-0.38) |
-0.0904 (-3.75) |
-0.0047 (-1.81) |
1 -- - |
0.17 |
0.0023 |
BBB |
0.0219 |
0.0288 |
-0.7100 (-0.81) |
-0.2510 (-3.74) |
-0.0074 (-0.99) |
- -- - |
0.18 |
- |
42
More intriguing information
1. The effect of classroom diversity on tolerance and participation in England, Sweden and Germany2. Gender stereotyping and wage discrimination among Italian graduates
3. The name is absent
4. An alternative way to model merit good arguments
5. 03-01 "Read My Lips: More New Tax Cuts - The Distributional Impacts of Repealing Dividend Taxation"
6. A Classical Probabilistic Computer Model of Consciousness
7. The name is absent
8. The name is absent
9. 5th and 8th grade pupils’ and teachers’ perceptions of the relationships between teaching methods, classroom ethos, and positive affective attitudes towards learning mathematics in Japan
10. The name is absent