Sample

Regressor

Coef.

St-dev.

t-stat

Feb/2003-Jul/2021

yc(−1)***

0.333

0.055

6.025

rc(−1)***

−0.284

0.091

−3.101

R_I

yc(−1)***

0.238

0.072

3.267

rc(−1)**

−0.158

0.073

−2.169

R_II

yc(−1)***

0.362

0.114

3.155

rc(−1)**

−0.776

0.378

−2.049