Table 6. Information of term spread and...

Table 6.

Information of term spread and its components with uncertainty in Korean economy: Coincident economic activity 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	−5.08 × 10⁻⁴		5.05 × 10⁻⁴		0.0072	n = 6	−0.0036		0.0038**		0.0607
	(−1.221)		(1.228)		0.0072		(−1.569)		(2.154)		0.0607
	1.86 × 10⁻⁵	−8.83 × 10⁻⁴	−3.76 × 10⁻⁵	8.14 × 10⁻⁴	0.0039		−4.40 × 10⁻⁴	−0.0060**	0.0017	0.0036	0.0889
	(0.032)	(−1.369)	(−0.065)	(1.439)	0.0039		(−0.147)	(−2.039)	(0.652)	(1.462)	0.0889
n = 3	−0.0018		0.0019*		0.0285	n = 12	−0.0071*		0.0077***		0.1247
	(−1.426)		(1.800)		0.0285		(−1.870)		(2.718)		0.1247
	1.46 × 10⁻⁴	−0.0034	1.30 × 10⁻⁴	0.0027	0.0402		−0.0048	−0.0048	0.0070	0.0016	0.1326
	(0.076)	(−1.633)	(0.070)	(1.575)	0.0402		(−0.829)	(−1.019)	(1.471)	(0.416)	0.1326

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	−5.08 × 10⁻⁴		5.05 × 10⁻⁴		0.0072	n = 6	−0.0036		0.0038**		0.0607
	(−1.221)		(1.228)		0.0072		(−1.569)		(2.154)		0.0607
	1.86 × 10⁻⁵	−8.83 × 10⁻⁴	−3.76 × 10⁻⁵	8.14 × 10⁻⁴	0.0039		−4.40 × 10⁻⁴	−0.0060**	0.0017	0.0036	0.0889
	(0.032)	(−1.369)	(−0.065)	(1.439)	0.0039		(−0.147)	(−2.039)	(0.652)	(1.462)	0.0889
n = 3	−0.0018		0.0019*		0.0285	n = 12	−0.0071*		0.0077***		0.1247
	(−1.426)		(1.800)		0.0285		(−1.870)		(2.718)		0.1247
	1.46 × 10⁻⁴	−0.0034	1.30 × 10⁻⁴	0.0027	0.0402		−0.0048	−0.0048	0.0070	0.0016	0.1326
	(0.076)	(−1.633)	(0.070)	(1.575)	0.0402		(−0.829)	(−1.019)	(1.471)	(0.416)	0.1326

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
Panel B: Term premium and risk-neutral expectation
n = 1	−1.75 × 10⁻⁴		1.31 × 10⁻⁴				−0.0049	n = 6	−1.37 × 10⁻⁴		−2.04 × 10⁻⁴				−0.0057
	(−0.624)		(0.285)				−0.0049		(−0.122)		(−0.093)				−0.0057
	−4.93 × 10⁻⁴	4.95 × 10⁻⁴	5.69 × 10⁻⁴	−7.41 × 10⁻⁴			−0.0091		3.48 × 10⁻⁴	−0.0011	6.34 × 10⁻⁴	−0.0016			0.0026
	(−1.389)	(0.917)	(1.341)	(−0.957)			−0.0091		(0.228)	(−0.670)	(0.295)	(−0.643)			0.0026
	−9.60 × 10⁻⁵				4.03 × 10⁻⁴		0.0016		−5.97 × 10⁻⁴				0.0045		0.0773
	(−0.320)				(0.799)		0.0016		(−0.403)				(1.466)		0.0773
	−4.28 × 10⁻⁵	−4.28 × 10⁻⁴			−5.24 × 10⁻⁴	0.0023***	0.0489		9.13 × 10⁻⁴	−0.0046***			4.64 × 10⁻⁴	0.0113***	0.2264
	(−0.155)	(−0.857)			(−1.172)	(2.773)	0.0489		(0.653)	(−2.954)			(0.169)	(3.805)	0.2264
	−4.47 × 10⁻⁴		4.19 × 10⁻⁴		6.35 × 10⁻⁴		0.0031		−0.0027		0.0025		0.005*		0.0945
	(−1.178)		(0.899)		(1.159)		0.0031		(−1.501)		(1.483)		(1.831)		0.0945
	−3.28 × 10⁻⁴	−4.10 × 10⁻⁴	3.52 × 10⁻⁴	−3.59 × 10⁻⁵	−3.00 × 10⁻⁴	0.0022***	0.0420		−5.39 × 10⁻⁴	−0.0051**	0.0018	4.50 × 10⁻⁴	0.0016	0.0111***	0.2341
	(−0.627)	(−0.695)	(0.609)	(−0.052)	(−0.492)	(2.817)	0.0420		(−0.236)	(−2.176)	(0.817)	(0.203)	(0.485)	(3.284)	0.2341
n = 3	−1.87 × 10⁻⁴		3.18 × 10⁻⁵				−0.0059	n = 12	−8.89 × 10⁻⁴	6.24 × 10⁻⁴					−0.0049
	(−0.249)		(0.025)				−0.0059		(−0.626)	(0.202)					−0.0049
	−4.17 × 10⁻⁴	2.60 × 10⁻⁴	7.84 × 10⁻⁴	−0.0013			−0.0089		5.84 × 10⁻⁴	−0.0026	1.29 × 10⁻⁴	6.38 × 10⁻⁴			−0.0103
	(−0.404)	(0.186)	(0.613)	(−0.693)			−0.0089		(0.347)	(−1.458)	(0.035)	(0.179)			−0.0103
	−2.96 × 10⁻⁴				0.0020		0.0311		−9.03 × 10⁻⁴				0.007*		0.1151
	(−0.345)				(1.219)		0.0311		(−0.412)				(1.728)		0.1151
	2.10 × 10⁻⁴	−0.0020			−6.12 × 10⁻⁴	0.0069***	0.1315		9.43 × 10⁻⁴	−0.0053**			0.0041	0.0108**	0.1841
	(0.260)	(−1.554)			(−0.401)	(2.756)	0.1315		(0.383)	(−2.391)			(0.825)	(2.543)	0.1841
	−0.0014		0.0013		0.0028		0.0386		−0.005**		0.0056**		0.010**		0.1661
	(−1.306)		(1.165)		(1.584)		0.0386		(−2.002)		(2.459)		(2.274)		0.1661
	−3.01 × 10⁻⁴	−0.0025	6.33 × 10⁻⁴	5.63 × 10⁻⁴	−2.09 × 10⁻⁴	0.0071***	0.1303		−0.0037	−0.0050	0.0058	−6.21 × 10⁻⁴	0.0078	0.0095**	0.2258
	(−0.183)	(−1.368)	(0.359)	(0.304)	(−0.099)	(2.672)	0.1303		(−0.910)	(−1.422)	(1.570)	(−0.189)	(1.264)	(2.048)	0.2258

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

Panel B: Term premium and risk-neutral expectation

n = 1

−1.75 × 10⁻⁴

1.31 × 10⁻⁴

−0.0049

n = 6

−1.37 × 10⁻⁴

−2.04 × 10⁻⁴

−0.0057

(−0.624)

(0.285)

(−0.122)

(−0.093)

−4.93 × 10⁻⁴

4.95 × 10⁻⁴

5.69 × 10⁻⁴

−7.41 × 10⁻⁴

−0.0091

3.48 × 10⁻⁴

−0.0011

6.34 × 10⁻⁴

−0.0016

0.0026

(−1.389)

(0.917)

(1.341)

(−0.957)

(0.228)

(−0.670)

(0.295)

(−0.643)

−9.60 × 10⁻⁵

4.03 × 10⁻⁴

0.0016

−5.97 × 10⁻⁴

0.0045

0.0773

(−0.320)

(0.799)

(−0.403)

(1.466)

−4.28 × 10⁻⁵

−4.28 × 10⁻⁴

−5.24 × 10⁻⁴

0.0023***

0.0489

9.13 × 10⁻⁴

−0.0046***

4.64 × 10⁻⁴

0.0113***

0.2264

(−0.155)

(−0.857)

(−1.172)

(2.773)

(0.653)

(−2.954)

(0.169)

(3.805)

−4.47 × 10⁻⁴

4.19 × 10⁻⁴

6.35 × 10⁻⁴

0.0031

−0.0027

0.0025

0.005*

0.0945

(−1.178)

(0.899)

(1.159)

(−1.501)

(1.483)

(1.831)

−3.28 × 10⁻⁴

−4.10 × 10⁻⁴

3.52 × 10⁻⁴

−3.59 × 10⁻⁵

−3.00 × 10⁻⁴

0.0022***

0.0420

−5.39 × 10⁻⁴

−0.0051**

0.0018

4.50 × 10⁻⁴

0.0016

0.0111***

0.2341

(−0.627)

(−0.695)

(0.609)

(−0.052)

(−0.492)

(2.817)

(−0.236)

(−2.176)

(0.817)

(0.203)

(0.485)

(3.284)

n = 3

−1.87 × 10⁻⁴

3.18 × 10⁻⁵

−0.0059

n = 12

−8.89 × 10⁻⁴

6.24 × 10⁻⁴

−0.0049

(−0.249)

(0.025)

(−0.626)

(0.202)

−4.17 × 10⁻⁴

2.60 × 10⁻⁴

7.84 × 10⁻⁴

−0.0013

−0.0089

5.84 × 10⁻⁴

−0.0026

1.29 × 10⁻⁴

6.38 × 10⁻⁴

−0.0103

(−0.404)

(0.186)

(0.613)

(−0.693)

(0.347)

(−1.458)

(0.035)

(0.179)

−2.96 × 10⁻⁴

0.0020

0.0311

−9.03 × 10⁻⁴

0.007*

0.1151

(−0.345)

(1.219)

(−0.412)

(1.728)

2.10 × 10⁻⁴

−0.0020

−6.12 × 10⁻⁴

0.0069***

0.1315

9.43 × 10⁻⁴

−0.0053**

0.0041

0.0108**

0.1841

(0.260)

(−1.554)

(−0.401)

(2.756)

(0.383)

(−2.391)

(0.825)

(2.543)

−0.0014

0.0013

0.0028

0.0386

−0.005**

0.0056**

0.010**

0.1661

(−1.306)

(1.165)

(1.584)

(−2.002)

(2.459)

(2.274)

−3.01 × 10⁻⁴

−0.0025

6.33 × 10⁻⁴

5.63 × 10⁻⁴

−2.09 × 10⁻⁴

0.0071***

0.1303

−0.0037

−0.0050

0.0058

−6.21 × 10⁻⁴

0.0078

0.0095**

0.2258

(−0.183)

(−1.368)

(0.359)

(0.304)

(−0.099)

(2.672)

(−0.910)

(−1.422)

(1.570)

(−0.189)

(1.264)

(2.048)

Notes: The table reports estimates from predictive regressions of growth in Korean coincident economic activity 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 coincident economic activity 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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