Are Term Premiums Predictable in Central European Countries? The Forward Rates Agreements (FRA) Application

Figures & data

Table 1. Zivot-Andrews Unit Root Test with a break, whole data sample range, 213 observations.

	ADF test		Unit Root Test with structural breaks
	Levels (p-values)	Logs (p-values)	Levels (p-values; lags)	Logs (p-vaues; lags)	Date of break
CZ_1_4	0.5046	0.7379	0.04; 4	0.5359; 1	2008M11
CZ_3_6	0.5233	0.7235	0.1382; 4	0.6592; 1	2008M06
CZ_9_12	0.6360	0.7567	0.0946; 1	0.6438; 0	2008M07
HU_1_4	0.9258	0.9180	0.2588; 0	0.9894; 0	2008M11
HU_3_6	0.9203	0.8577	0.2659; 1	0.4787; 3	2014M03
HU_9_12	0.8701	0.8860	0.1318; 2	0.4637; 0	2014M03
PO_1_4	0.6168	0.8246	0.1093; 1	0.0947; 1	2012M08
PO_3_6	0.6498	0.8266	0.1148; 1	0.1012; 1	2012M07
PO_9_12	0.3675	0.6857	0.0241; 1	0.0698; 1	2012M06
UK_1_4	0.6773	0.6225	<0.01; 2	<0.01; 3	2008M09
UK_3_6	0.6779	0.6777	<0.01; 2	<0.01; 1	2008M09
UK_9_12	0.6790	0.6581	<0.01; 1	<0.01; 1	2008M09
CZ_3 m	0.5824	0.6069	0.0162; 1	0.4532; 3	2008M10
HU_3 m	0.9853	0.9271	0.4891; 6	0.4526; 0	2014M04
PO_3 m	0.6673	0.8496	0.1404; 1	0.10008; 1	2012M08
UK_3 m	0.7195	0.6762	<0.01; 1	<0.01; 1	2008M10

Source: EViews output.

Table 2. Time series features, whole data sample range, 213 observations.

	Mean	Median	Std. deviation	Skewness	Kurtosis	JARQUE-BERA p-value	ADF test p-value	ADF test (LOG) p-value
CZ_1_4	1.547	1.267	1.103	0.634	2.606	0.001	0.505	0.738
CZ_3_6	1.510	1.268	1.148	0.683	2.494	0.000	0.523	0.738
CZ_9_12	1.720	1.767	1.206	0.300	1.973	0.003	0.636	0.757
PO_1_4	3.795	4.197	1.640	0.054	1.827	0.004	0.617	0.825
PO_3_6	3.772	4.203	1.655	0.073	1.854	0.005	0.650	0.827
PO_9_12	3.655	4.211	1.614	0.067	1.799	0.005	0.368	0.686
HU_1_4	4.570	5.522	3.170	−0.086	1.642	0.001	0.926	0.918
HU_3_6	4.509	5.517	3.116	−0.094	1.593	0.000	0.920	0.858
HU_9_12	4.423	5.510	2.901	−0.150	1.564	0.001	0.870	0.886
UK_1_4	2.191	0.837	2.115	0.747	1.773	0.000	0.677	0.623
UK_3_6	2.199	0.889	2.090	0.747	1.755	0.000	0.678	0.677
UK_9_12	2.300	1.088	1.996	0.706	1.719	0.000	0.679	0.658
CZ_3 m	1.539	1.240	1.102	0.673	2.677	0.000	0.582	0.607
HU_3 m	5.052	6.145	3.639	0.036	1.782	0.007	0.985	0.927
PO_3 m	3.815	4.180	1.632	0.043	1.822	0.004	0.667	0.850
UK_3 m	2.202	0.820	2.132	0.737	1.738	0.000	0.720	0.676

Source: EViews output.

Table 3. Time series features, whole data sample range, 213 observations.

	Johansen Cointegration Test			VEC(1,2)
	None (p-value)	At most 1 (p-value)	Cointegration Eq. (p-value)	Cointegration Eq. (p-value); constant	Delayed (−1,-3,-9), α1(p-value), α2 (p-value)
CZ_1_4	0.0004	0.0616	1,-0.9994 (0.0059)	1,-1 (0.0049); −0.004	−0.418 (0.072),0.645 (0.17)
CZ_3_6	0.0005	0.1244	1,-1.0098 (0.0174)	1,-1.0154 (0.0112); -0.0037	0.5033(0.0618), 0.1088 (0.062)
CZ_9_12	0.0000	0.0765	1,-1.0970 (0.0503)	1,-1.0854 (0.0602); -0.0601	−0.1675 (0.0253), 0.0001 (0.0170)
PO_1_4	0.0000	0.1129	1,-1,0030 (0.0048)	1,-1.0033 (0.0052); 0.0025	−0.2634 (0.0720), 0.7918 (0.1729)
PO_3_6	0.0002	0.1874	1,-1,0032 (0.0136)	1,-1.013 (0.0095); 0.0209	−0.5326 (0.0559), 0.1185 (0.0664)
PO_9_12	0.0000	0.3319	1, −1.0184 (0.0335)	1,-1.0199 (0.0493); -0,1534	−0.2136 (0.0312), 0.0166 (0.0186)
HU_1_4	0.7146	0.9046	No	1, −0.939 (0.02023); -0.075	−0.0694 (0.0764), 0.3404 (0.1574)
HU_3_6	0.0506	0.5097	No	1,-0.9123 (0.016); -0.2392	−0.3724 (0.0802), -0.1455 (0.1679)
HU_9_12	0.0007	0.6077	1, −0.8212 (0.0396)	1, −0,8465 (0.0433); -0,7619	−0.2581 (0.0489), -0.0246 (0.0547)
UK_1_4	0.0000	0.2195	1,-0.9934 (0.0024)	1, −0.9926 (0.0021); -0,0262	−0.6379 (0.1415), 0.1626 (0.3044)
UK_3_6	0.0009	0.1899	1,-0.9806 (0.0077)	1, −0.9703 (0.0055); -0,0947	−0.4998 (0.0565), -0.00555 (0.1137)
UK_9_12	0.0000	0.1376	1,-0.9387 (0.0229)	1, −0,9234 (0.0355), -0.4243	−0.1487 (0.0177), -0.0009 (0.0202)

Source: EViews output.

Table 4. Pedroni Residuals, Cointegration Test.

Predictive power of FRA	Null hypothesis: no panel cointegration
FRA_1_4 (−1) IR_3 m	7 of all 7 statistical tests rejected
FRA_3_6 (−3) IR_3 m	7 of all 7 statistical tests rejected
FRA_9_12 (−9) IR_3 m	7 of all 7 statistical tests rejected

Source: EViews output.

Data Availability Statement

The author confirms that the data supporting the findings of this study are available within the article and/or its supplementary materials.