Table 5.

Role of economic circumstances: full sample period.

Dependent variables	[1]	[2]	[3]	[4]	[5]	[6]	[7]	[8]
	GOV	GOV	GOV	GOV	EXC	EXC	EXC	EXC
ri, t	0.465***	0.465***	0.465***	0.465***	−0.026***	−0.026***	−0.026***	−0.026***
	(59.416)	(59.381)	(59.425)	(59.380)	(−24.741)	(−24.727)	(−24.702)	(−24.799)
dumi, t	−0.010	−0.018	−0.013	−0.019	−0.004	−0.002	−0.005	−0.003
	(−0.221)	(−0.418)	(−0.300)	(−0.429)	(−0.630)	(−0.387)	(−0.884)	(−0.565)
dumi, t × ri, t	−0.462***	−0.412***	−0.398***	−0.411***	0.023**	0.022***	0.025***	0.023***
	(−6.946)	(−6.707)	(−6.330)	(−6.604)	(2.568)	(2.612)	(2.943)	(2.673)
Xi, t1	−0.042				−0.059***
	(−0.662)				(−4.263)
Xi, t1 × dumi, t × ri, t	0.241*				0.001
	(1.790)				(0.068)
Xi, t2		0.001				0.002
		(0.020)				(0.386)
Xi, t2 × dumi, t × ri, t		−0.049				0.034
		(−0.194)				(0.991)
Xi, t3			−0.052**				0.003
			(−2.038)				(0.775)
Xi, t3 × dumi, t × ri, t			−0.102				−0.026
			(−0.600)				(−1.114)
Xi, t4				0.022				−0.095***
				(0.291)				(−3.422)
Xi, t4 × dumi, t × ri, t				−0.043				−0.005
				(−0.227)				(−0.213)
c	0.095*	0.071*	0.094***	0.061	0.041**	0.010	0.009	0.057**
	(1.912)	(1.805)	(2.615)	(1.181)	(1.962)	(0.483)	(0.452)	(2.358)
R2	0.427	0.427	0.426	0.426	0.0604	0.111	0.110	0.0387
Obs.	4868	4868	4868	4868	4895	4895	4895	4895
Number of countries	37	37	37	37	37	37	37	37

Notes: This table reports the results from the regressions of the model (5), that is, the effects of changes in policy rates (r_{i, t}), the emergence of COVID-19 (dum_{i, t}), the circumstance variables (X_{i, t}^k, k = 1,2,3,4) and their interaction terms (dum_{i, t} × r_{i, t} and X_{i, t}^k × dum_{i, t} × r_{i, t}) on the changes in 10-year government bond yields (GOV) and the changes in exchange rates (EXC). The estimation is based on the full sample period. The coefficient estimates are obtained by the OLS method. t-statistics are reported in parentheses and ***/ **/* denote the significance at 99%, 95% and 90% confidence levels, respectively.