37
Table 7. Real Interest Rates and Real interest Differentials
Panel DOLS regressions with fixed time and country effects
A. Real interest rate
|
(1) |
(2) |
(3) |
(4) |
(5) |
(6) |
(7) |
(8) | |
|
RDIF 1970-98 |
RDIF 1970-98 |
RDIF 1980-98 |
RDIF 1980-98 |
RDIF 1970-98 |
RDIF 1970-98 |
RDIF 1980-98 |
RDIF 1980-98 | |
|
NFAZexports |
-1.06 |
-0.83 |
-1.36 |
-0.91 |
-1.5 |
-1.63 |
-2.87 |
-2.81 |
|
(2.6)* |
(2.0)* |
(2.48)* |
(1.66) |
(2.45)* |
(2.94)** |
(4.48)** |
(4.65)** | |
|
Public debt |
3.82 |
7.1 |
2.98 |
3.56 | ||||
|
(2.1)* |
(3.4)** |
(2.03)* |
(1.91)* | |||||
|
D(RER) |
0.03 |
0.04 |
0.02 |
2.64 | ||||
|
(1.2) |
(1.74) |
(.9) |
(1.23) | |||||
|
Adjusted R2 |
0.5 |
0.56 |
0.36 |
0.39 |
0.54 |
0.59 |
0.43 |
0.46 |
|
Countries |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
|
Observations |
462 |
410 |
362 |
336 |
442 |
410 |
358 |
336 |
B. Real interest differential
(1) (2) (3) (4) (5) (6) (7) (8)
|
RDIF 1970-98 |
RDIF 1970-98 |
RDIF 1980-98 |
RDIF 1980-98 |
RDIF 1970-98 |
RDIF 1970-98 |
RDIF 1980-98 |
RDIF 1980-98 | |
|
NFAZexports |
-2.54 |
-2.44 |
-2.73 |
-2.22 |
-2.57 |
-2.77 |
-3.19 |
-3.24 |
|
(5.41)** |
(5.5)** |
(4.3)** |
(4.58)** |
(4.03)** |
(4.27)** |
(4.83)** |
(5.52)** | |
|
Public debt |
3.18 |
7.79 |
2.23 |
3.18 | ||||
|
(1.76) |
(4.82)** |
(1.51) |
(1.67) | |||||
|
D(RER) |
-0.04 |
-0.014 |
0.012 |
0.015 | ||||
|
(2.15)* |
(.78) |
(.54) |
(.66) | |||||
|
Adjusted R2 |
0.58 |
0.59 |
0.6 |
0.64 |
0.6 |
0.59 |
0.63 |
0.67 |
|
Countries |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
|
Observations |
423 |
403 |
344 |
338 |
416 |
386 |
340 |
319 |
*Sample is Industrial Countries, with exception of Iceland. In panel A, dependent variable is the
real interest rate; in panel B, dependent variable is real interest differential vis-à-vis the US. In
regressions (1)-(4), CUMCA is employed as measure of NFA; in regressions (5)-(8), it is based
on fitted value from regression of NFA on GDP per capita, public debt and demographic
variables. In regressions (2), 4), (6) and (8), multivariate real exchange rate is employed in panel
A and bivariate real exchange rate vis-à-vis the US in panel B. * (**) indicates statistical
significance atthe 5% (1%) confidence level.