Table 3 ADL model estimation for government bonds

Diff. monetary policy rate

0.567***

0.48***

0.447***

−0.009

(0.168)

(0.109)

(0.138)

(0.073)

Lag diff. monetary policy rate

0.554***

0.759***

0.463**

−0.104*

(0.184)

(0.181)

(0.195)

(0.06)

Lag diff. dependent variable

−0.493***

−0.325**

−0.210

−0.104*

(0.136)

(0.137)

(0.158)

(0.06)

Diff. reserve requirement coefficient

0.040

0.073

−0.125**

−0.010

(0.719)

(0.047)

(0.057)

(0.023)

Diff. EMBI

0.945**

0.680

0.473

1.018***

(0.44)

(0.459)

(0.347)

(0.08)

Diff. VIX

−0.074*

−0.019

−0.043**

−0.026***

(0.04)

(0.034)

(0.02)

(0.007)

Dummy inflation targeting

−0.356

0.064

−0.086

0.035

(0.289)

(0.273)

(0.163)

(0.076)

Dummy monetary policy rate introduction

0.298

0.018

0.167

0.031

(0.232)

(0.183)

(0.181)

(0.058)

Constant

−0.120

−0.197

−0.180

−0.075

(0.198)

(0.212)

(0.118)

(0.062)

Observations

54

41

57

61

R squared

0.398

0.341

0.255

0.682

Adjusted R squared

0.291

0.176

0.131

0.633

SE of regression

0.867

0.593

0.565

0.186