Table 5. Information of term spread and...

Table 5.

Information of term spread and its components with uncertainty in Korean economy: Industrial production index

Horizon	Const	D_{K_E}	KOR_TS	KOR_TS × D_{K_E}	Adj. R²	Horizon	Const	D_{K_E}	KOR_TS	KOR_TS × D_{K_E}	Adj. R²
Panel A: Term spread
n = 1	7.28 × 10⁻⁴		0.0020		0.0024	n = 6	0.0062		0.0098**		0.0662
	(0.532)		(1.459)		0.0024		(1.153)		(1.979)		0.0662
	0.0030	−0.0034	−0.0011	0.0045	−0.0006		0.0144*	−0.0144*	0.0024	0.0115	0.0868
	(1.150)	(−0.935)	(−0.388)	(1.108)	−0.0006		(1.962)	(−1.959)	(0.367)	(1.553)	0.0868
n = 3	0.0016		0.0066*		0.0446	n = 12	0.0148*		0.0167**		0.1118
	(0.440)		(1.958)		0.0446		(1.764)		(2.292)		0.1118
	0.0100**	−0.0141**	−0.0020	0.0129***	0.0821		0.0238**	−0.0153	0.0078	0.0135	0.1218
	(2.194)	(−2.550)	(−0.524)	(2.678)	0.0821		(2.051)	(−1.631)	(0.808)	(1.494)	0.1218

Horizon	Const	D_{K_E}	KOR_TS	KOR_TS × D_{K_E}	Adj. R²	Horizon	Const	D_{K_E}	KOR_TS	KOR_TS × D_{K_E}	Adj. R²
Panel A: Term spread
n = 1	7.28 × 10⁻⁴		0.0020		0.0024	n = 6	0.0062		0.0098**		0.0662
	(0.532)		(1.459)		0.0024		(1.153)		(1.979)		0.0662
	0.0030	−0.0034	−0.0011	0.0045	−0.0006		0.0144*	−0.0144*	0.0024	0.0115	0.0868
	(1.150)	(−0.935)	(−0.388)	(1.108)	−0.0006		(1.962)	(−1.959)	(0.367)	(1.553)	0.0868
n = 3	0.0016		0.0066*		0.0446	n = 12	0.0148*		0.0167**		0.1118
	(0.440)		(1.958)		0.0446		(1.764)		(2.292)		0.1118
	0.0100**	−0.0141**	−0.0020	0.0129***	0.0821		0.0238**	−0.0153	0.0078	0.0135	0.1218
	(2.194)	(−2.550)	(−0.524)	(2.678)	0.0821		(2.051)	(−1.631)	(0.808)	(1.494)	0.1218

Panel B: Term premium and risk-neutral expectation
Horizon	Const	D_{K_E}	KOR_TP	KOR_TP ×D_{K_E}	KOR_RN	KOR_RN×D_{K_E}	Adj. R²	Horizon	Const	D_{K_E}	KOR_TP	KOR_TP ×D_{K_E}	KOR_RN	KOR_RN×D_{K_E}	Adj. R²
n = 1	0.0021**		5.14 × 10⁻⁴				−0.0053	n = 6	0.0116***		0.0039				0.0068
	(2.572)		(0.354)				−0.0053		(5.546)		(0.822)				0.0068
	0.0017	6.25 × 10⁻⁴	4.71 × 10⁻⁴	1.37 × 10⁻⁴			−0.0165		0.0116***	−2.75 × 10⁻⁴	0.0056	−0.0031			0.0005
	(1.451)	(0.333)	(0.298)	(0.044)			−0.0165		(3.838)	(−0.087)	(1.196)	(−0.517)			0.0005
	0.0024***				0.0016		−0.0011		0.0144***				0.0062		0.0194
	(2.949)				(0.853)		−0.0011		(4.337)				(0.862)		0.0194
	0.0021*	−2.52 × 10⁻⁴			−0.0011	0.0064	0.0045		0.0161***	−0.0070*			−0.0035	0.0251***	0.1181
	(1.871)	(−0.110)			(−0.609)	(1.356)	0.0045		(5.019)	(−1.691)			(−0.562)	(3.522)	0.1181
	9.73 × 10⁻⁴		0.0016		0.0025		−0.0024		0.0068*		0.0090**		0.0111		0.0632
	(0.831)		(1.183)		(1.237)		−0.0024		(1.678)		(2.026)		(1.406)		0.0632
	0.0026	−0.0026	−6.17 × 10⁻⁴	0.0028	−0.0015	0.0078	−0.0015		0.0115**	−0.0101*	0.0057	0.0034	1.41 × 10⁻⁴	0.0256***	0.1497
	(1.063)	(−0.763)	(−0.207)	(0.677)	(−0.479)	(1.396)	−0.0015		(2.209)	(−1.740)	(1.097)	(0.519)	(0.018)	(2.960)	0.1497
n = 3	0.0057***		0.0021				−0.0005	n = 12	0.0193***		0.0124**				0.0655
	(3.895)		(0.665)				−0.0005		(5.344)		(2.252)				0.0655
	0.0070***	−0.0023	0.0018	3.05 × 10⁻⁴			−0.0094		0.0203***	−0.0016	0.0114*	0.0018			0.0547
	(3.516)	(−0.941)	(0.648)	(0.071)			−0.0094		(4.009)	(−0.328)	(1.727)	(0.228)			0.0547
	0.0071***				0.0049		0.0186		0.0291***				0.0034		−0.0014
	(3.457)				(0.970)		0.0186		(6.015)				(0.341)		−0.0014
	0.0083***	−0.0053*			−0.0028	0.0197***	0.1109		0.0296***	−0.0041			−0.0053	0.0218*	0.0301
	(4.452)	(−1.765)			(−0.713)	(2.761)	0.1109		(5.910)	(−0.640)			(−0.523)	(1.953)	0.0301
	0.0023		0.0057**		0.0080		0.0436		0.0134**		0.0187***		0.0138		0.1140
	(0.820)		(2.024)		(1.433)		0.0436		(1.990)		(3.092)		(1.211)		0.1140
	0.0086***	−0.0117**	−4.31 × 10⁻⁴	0.0076**	−0.0030	0.0233***	0.1356		0.0183**	−0.0093	0.0140**	0.0056	0.0036	0.0218**	0.1337
	(2.641)	(−2.550)	(−0.153)	(1.984)	(−0.635)	(2.949)	0.1356		(2.111)	(−1.325)	(2.022)	(0.715)	(0.289)	(2.064)	0.1337

The table reports estimates from predictive regressions of growth in Korean industrial production index on term spread and its components with dummy variables of Korean EPU. All variable definitions are identical to those in Table 3, except for D_K_{_}_E. D_K_{_}_E is the dummy variable for high uncertainty periods. Horizon indicates predictive months of growth in industrial production index. Panels A and B report the results of term spread and its components, respectively. Newey and West (1987) corrected t-statistics are reported in parentheses. *, ** and *** represent significance at the 10, 5 and 1% levels, respectively

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Panel B: Term premium and risk-neutral expectation
Horizon	Const	D_{K_E}	KOR_TP	KOR_TP ×D_{K_E}	KOR_RN	KOR_RN×D_{K_E}	Adj. R²	Horizon	Const	D_{K_E}	KOR_TP	KOR_TP ×D_{K_E}	KOR_RN	KOR_RN×D_{K_E}	Adj. R²
n = 1	0.0021**		5.14 × 10⁻⁴				−0.0053	n = 6	0.0116***		0.0039				0.0068
	(2.572)		(0.354)				−0.0053		(5.546)		(0.822)				0.0068
	0.0017	6.25 × 10⁻⁴	4.71 × 10⁻⁴	1.37 × 10⁻⁴			−0.0165		0.0116***	−2.75 × 10⁻⁴	0.0056	−0.0031			0.0005
	(1.451)	(0.333)	(0.298)	(0.044)			−0.0165		(3.838)	(−0.087)	(1.196)	(−0.517)			0.0005
	0.0024***				0.0016		−0.0011		0.0144***				0.0062		0.0194
	(2.949)				(0.853)		−0.0011		(4.337)				(0.862)		0.0194
	0.0021*	−2.52 × 10⁻⁴			−0.0011	0.0064	0.0045		0.0161***	−0.0070*			−0.0035	0.0251***	0.1181
	(1.871)	(−0.110)			(−0.609)	(1.356)	0.0045		(5.019)	(−1.691)			(−0.562)	(3.522)	0.1181
	9.73 × 10⁻⁴		0.0016		0.0025		−0.0024		0.0068*		0.0090**		0.0111		0.0632
	(0.831)		(1.183)		(1.237)		−0.0024		(1.678)		(2.026)		(1.406)		0.0632
	0.0026	−0.0026	−6.17 × 10⁻⁴	0.0028	−0.0015	0.0078	−0.0015		0.0115**	−0.0101*	0.0057	0.0034	1.41 × 10⁻⁴	0.0256***	0.1497
	(1.063)	(−0.763)	(−0.207)	(0.677)	(−0.479)	(1.396)	−0.0015		(2.209)	(−1.740)	(1.097)	(0.519)	(0.018)	(2.960)	0.1497
n = 3	0.0057***		0.0021				−0.0005	n = 12	0.0193***		0.0124**				0.0655
	(3.895)		(0.665)				−0.0005		(5.344)		(2.252)				0.0655
	0.0070***	−0.0023	0.0018	3.05 × 10⁻⁴			−0.0094		0.0203***	−0.0016	0.0114*	0.0018			0.0547
	(3.516)	(−0.941)	(0.648)	(0.071)			−0.0094		(4.009)	(−0.328)	(1.727)	(0.228)			0.0547
	0.0071***				0.0049		0.0186		0.0291***				0.0034		−0.0014
	(3.457)				(0.970)		0.0186		(6.015)				(0.341)		−0.0014
	0.0083***	−0.0053*			−0.0028	0.0197***	0.1109		0.0296***	−0.0041			−0.0053	0.0218*	0.0301
	(4.452)	(−1.765)			(−0.713)	(2.761)	0.1109		(5.910)	(−0.640)			(−0.523)	(1.953)	0.0301
	0.0023		0.0057**		0.0080		0.0436		0.0134**		0.0187***		0.0138		0.1140
	(0.820)		(2.024)		(1.433)		0.0436		(1.990)		(3.092)		(1.211)		0.1140
	0.0086***	−0.0117**	−4.31 × 10⁻⁴	0.0076**	−0.0030	0.0233***	0.1356		0.0183**	−0.0093	0.0140**	0.0056	0.0036	0.0218**	0.1337
	(2.641)	(−2.550)	(−0.153)	(1.984)	(−0.635)	(2.949)	0.1356		(2.111)	(−1.325)	(2.022)	(0.715)	(0.289)	(2.064)	0.1337