RDP 9808: What Moves Yields in Australia? Appendix A: International Influences

Table A1: Impact of US and Australian Announcements on Yields in Australia
  Bill yields
  Episode I Episode II Episode III Whole period
Constant 2.1 (8.45) 1.3 (9.10) 1.5 (7.68) 1.5 (13.16)
Australian news 2.7 (2.71) 1.2 (2.47) 2.5 (3.80) 2.1 (4.89)
US news 2.0 (3.35) 1.8 (3.21) 0.6 (2.22) 1.5 (4.98)
S1 0.4 (5.60) 0.4 (7.05) 0.3 (1.41) 0.5 (8.28)
S2 0.2 (2.76) 0.1 (2.25) 0.0 (0.39) 0.2 (3.50)
Adjusted R2 0.13 0.12 0.11 0.13
DW statistic 2.02 2.10 2.00 2.04
S E of regression 5.08 3.05 3.05 3.92
Number of observations 604 595 607 1806
  Bond yields
  Episode I Episode II Episode III Whole period
Constant 5.2 (12.65) 4.1 (14.09) 3.3 (15.44) 3.9 (22.47)
Australian news 0.7 (0.97) 1.5 (2.69) 1.6 (3.31) 1.2 (3.40)
US News 4.3 (5.63) 2.5 (2.87) 2.9 (5.52) 3.3 (6.94)
S1 0.2 (4.35) 0.1 (1.29) 0.0 (−0.04) 0.2 (4.62)
S2 0.1 (2.75) 0.1 (1.17) 0.1 (0.85) 0.1 (4.68)
Adjusted R2 0.07 0.03 0.08 0.07
DW statistic 1.95 1.96 1.91 1.96
S E of regression 5.98 4.79 3.44 4.97
Number of observations 604 595 607 1806

Notes: T-ratios are in parentheses.
When heteroskedasticity is present, White's heteroskedasticity-consistent standard errors are used to calculate t-ratios.