TABLE 1
FROM:
Investing in emerging market local currency debt
Benoît Mercereau and Alexandra Lubomira Sowa
BACK TO ARTICLETable 1. Estimated coefficients
| Variable | Estimate | Standard error | t-statistics |
|---|---|---|---|
| Long-term coefficients | |||
| Real short-term rate | 0.27 | 0.08 | 3.37 |
| Inflation | 0.24 | 0.08 | 2.96 |
| Budget balance/GDP | - 0.01 | 0.09 | - 0.13 |
| US ten-year rate | 1.00 | 0.28 | 3.60 |
| German ten-year rate | 1.06 | 0.27 | 3.94 |
| Current account/GDP | - 0.09 | 0.06 | - 1.57 |
| Industrial production growth | 0.07 | 0.03 | 2.57 |
| External debt/GDP | 0.07 | 0.02 | 3.25 |
| Commodity prices (Chile) | - 0.33 | 0.20 | - 1.59 |
| Commodity prices (Colombia) | - 0.42 | 0.20 | - 2.04 |
| Commodity prices (Mexico) | - 0.09 | 0.13 | - 0.75 |
| Commodity prices (Peru) | - 0.04 | 0.18 | - 0.20 |
| Commodity prices (Russia) | - 0.38 | 0.28 | - 1.35 |
| Commodity prices (South Africa) | - 0.61 | 0.32 | - 1.89 |
| Short-term coefficients | |||
| Mean reversion | 0.88 | 0.02 | 50.88 |
| Real short-term rate | 0.29 | 0.02 | 11.91 |
| Inflation | 0.20 | 0.06 | 3.44 |
| Budget balance/GDP | 0.02 | 0.04 | 0.49 |
| US ten-year rate | 0.30 | 0.06 | 4.91 |
| German ten-year rate | 0.82 | 0.08 | 9.70 |
| Current account/GDP | 0.02 | 0.04 | 0.37 |
| Industrial production growth | 0.00 | 0.01 | 0.42 |
| External debt/GDP | 0.17 | 0.04 | 4.13 |
| Commodity prices (Chile) | - 0.13 | 0.09 | - 1.45 |
| Commodity prices (Colombia) | - 0.29 | 0.17 | - 1.68 |
| Commodity prices (Mexico) | 0.02 | 0.05 | 0.32 |
| Commodity prices (Peru) | - 0.07 | 0.09 | - 0.70 |
| Commodity prices (Russia) | - 0.02 | 0.04 | - 0.52 |
| Commodity prices (South Africa) | - 0.32 | 0.18 | - 1.72 |
| Volatility of US equity | 0.02 | 0.00 | 5.23 |
| Constants | |||
| Chile | 3.08 | 3.28 | 0.94 |
| Colombia | 6.89 | 2.39 | 2.89 |
| Czech republic | - 1.49 | 1.09 | - 1.36 |
| Hungary | - 4.60 | 1.61 | - 2.86 |
| India | - 0.72 | 1.46 | - 0.50 |
| Indonesia | 1.89 | 1.86 | 1.01 |
| Malaysia | - 3.54 | 1.69 | - 2.09 |
| Mexico | 2.12 | 2.07 | 1.02 |
| Peru | - 1.07 | 3.84 | - 0.28 |
| Philippines | - 0.19 | 2.09 | - 0.09 |
| Poland | - 2.80 | 1.24 | - 2.25 |
| Russia | 6.21 | 4.45 | 1.40 |
| Slovakia | - 4.93 | 1.53 | - 3.21 |
| South Africa | 4.35 | 2.29 | 1.90 |
| Thailand | 3.08 | 3.28 | 0.94 |