Table 3 Estimation results for the VAR...

Table 3

Estimation results for the VAR model (only Korean results reported)

Dependent variable	△KTB3Y(+)_Kor,t	△KTB3Y(−)_Kor,t	△GDP_Kor,t	△CPI_Kor,t
△TB10Y(+)_US,t−1	0.137	0.104	0.612	0.276
△TB10Y(+)_US,t−1	0.110	0.172	0.396	0.259
△TB10Y(−)_US,t−1	0.025	0.145	0.368	−0.082
△TB10Y(−)_US,t−1	0.081	0.126	0.290	0.190
△GDP_US,t−1	0.008	−0.016	0.004	−0.013
△GDP_US,t−1	0.019	0.030	0.070	0.046
△CPI_US,t−1	0.010	−0.002	0.002	−0.051
△CPI_US,t−1	0.044	0.068	0.156	0.102
△KB3Y(+)_Kor,t−1	0.123^*	−0.195^*	−0.167	0.085
△KB3Y(+)_Kor,t−1	0.072	0.111	0.256	0.168
△KB3Y(−)_Kor,t−1	−0.003	0.275^***	−0.287^*	0.048
△KB3Y(−)_Kor,t−1	0.043	0.067	0.153	0.101
△GDP_Kor,t−1	−0.009	0.013	0.146^**	0.014
△GDP_Kor,t−1	0.020	0.031	0.072	0.047
△CPI_Kor,t−1	0.034	0.053	−0.136	−0.159^*
△CPI_Kor,t−1	0.030	0.047	0.109	0.071
Constant term	0.101^*	−0.195^**	0.841^***	0.698^*
Constant term	0.058	0.091	0.209	0.137
R-squared	0.105	0.269	0.217	0.104

Dependent variable	△KTB3Y(+)_Kor,t	△KTB3Y(−)_Kor,t	△GDP_Kor,t	△CPI_Kor,t
△TB10Y(+)_US,t−1	0.137	0.104	0.612	0.276
△TB10Y(+)_US,t−1	0.110	0.172	0.396	0.259
△TB10Y(−)_US,t−1	0.025	0.145	0.368	−0.082
△TB10Y(−)_US,t−1	0.081	0.126	0.290	0.190
△GDP_US,t−1	0.008	−0.016	0.004	−0.013
△GDP_US,t−1	0.019	0.030	0.070	0.046
△CPI_US,t−1	0.010	−0.002	0.002	−0.051
△CPI_US,t−1	0.044	0.068	0.156	0.102
△KB3Y(+)_Kor,t−1	0.123^*	−0.195^*	−0.167	0.085
△KB3Y(+)_Kor,t−1	0.072	0.111	0.256	0.168
△KB3Y(−)_Kor,t−1	−0.003	0.275^***	−0.287^*	0.048
△KB3Y(−)_Kor,t−1	0.043	0.067	0.153	0.101
△GDP_Kor,t−1	−0.009	0.013	0.146^**	0.014
△GDP_Kor,t−1	0.020	0.031	0.072	0.047
△CPI_Kor,t−1	0.034	0.053	−0.136	−0.159^*
△CPI_Kor,t−1	0.030	0.047	0.109	0.071
Constant term	0.101^*	−0.195^**	0.841^***	0.698^*
Constant term	0.058	0.091	0.209	0.137
R-squared	0.105	0.269	0.217	0.104

Note(s): (1) *, ** and *** indicate the 10%, 5% and 1% statistical significance levels, respectively; (2) In the interest rate parentheses, a (+) represents the phase of interest rates hike, and a (−) represents the phase of decreasing interest rates; This table illustrates the correlation coefficients between differenced variables through the VAR model and the standard deviation of the Korean economic indicators

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