Question

The following model was fitted to data from 28 countries in 1989 in order to explain the market value of their debt at that time: $$ \begin{aligned} & \hat{y}=77.2-\underset{(8.0)}{9.6 x_1}-\underset{(2.73)}{17.2 x_2}-\underset{(0.056)}{0.15 x_3}+\underset{(1.0)}{2.2 x_4} \\ & R^2=0.84 \end{aligned} $$ $(8.0)$ (273) $(0056)$ $(1.0)$ $$ R^2=0.84 $$ where $$ \begin{aligned} & y= \text { secondary market price, in dollars, in } 1989 \\ & \text { of } \$ 100 \text { of the country's debt } \\ & x_1= 1 \text { if U.S. bank regulators have mandated } \\ & \text { write-down for the country's assets on books } \\ & \text { of U.S. banks, } 0 \text { otherwise } \\ & x_2= 1 \text { if the country suspended interest payments } \\ & \text { in } 1989,2 \text { if the country suspended interest } \\ & \text { payments before } 1989 \text { and was still in suspension, } \\ & \text { and } 0 \text { otherwise } \\ & x_3= \text { debt-to-gross-national-product ratio } \\ & x_4= \text { rate of real gross national product growth, } \\ & 1980-1985 \end{aligned} $$ The numbers below the coefficients are the coefficient standard errors. a. Interpret the estimated coefficient on $x_1$. b. Test the null hypothesis that, all else being equal, debt-to-gross-national-product ratio does not linearly influence the market value of a country's debt against the alternative that the higher this ratio, the lower the value of the debt. c. Interpret the coefficient of determination. d. The specification of the dummy variable $x_2$ is unorthodox. An alternative would be to replace $x_2$ by the pair of variables $\left(x_5, x_6\right)$, defined as follows: $x_5=1$ if the country suspended interest payments in 1989, 0 otherwise $x_6=1$ if the country suspended interest payments before 1989 and was still in suspension, 0 otherwise Compare the implications of these two alternative specifications.

   The following model was fitted to data from 28 countries in 1989 in order to explain the market value of their debt at that time:
$$
\begin{aligned}
& \hat{y}=77.2-\underset{(8.0)}{9.6 x_1}-\underset{(2.73)}{17.2 x_2}-\underset{(0.056)}{0.15 x_3}+\underset{(1.0)}{2.2 x_4} \\
& R^2=0.84
\end{aligned}
$$
$(8.0)$
(273)
$(0056)$
$(1.0)$
$$
R^2=0.84
$$
where
$$
\begin{aligned}
& y= \text { secondary market price, in dollars, in } 1989 \\
& \text { of } \$ 100 \text { of the country's debt } \\
& x_1= 1 \text { if U.S. bank regulators have mandated } \\
& \text { write-down for the country's assets on books } \\
& \text { of U.S. banks, } 0 \text { otherwise } \\
& x_2= 1 \text { if the country suspended interest payments } \\
& \text { in } 1989,2 \text { if the country suspended interest } \\
& \text { payments before } 1989 \text { and was still in suspension, } \\
& \text { and } 0 \text { otherwise } \\
& x_3= \text { debt-to-gross-national-product ratio } \\
& x_4= \text { rate of real gross national product growth, } \\
& 1980-1985
\end{aligned}
$$
The numbers below the coefficients are the coefficient standard errors.
a. Interpret the estimated coefficient on $x_1$.
b. Test the null hypothesis that, all else being equal, debt-to-gross-national-product ratio does not linearly influence the market value of a country's debt against the alternative that the higher this ratio, the lower the value of the debt.
c. Interpret the coefficient of determination.
d. The specification of the dummy variable $x_2$ is unorthodox. An alternative would be to replace $x_2$ by the pair of variables $\left(x_5, x_6\right)$, defined as follows:
$x_5=1$ if the country suspended interest payments in 1989, 0 otherwise
$x_6=1$ if the country suspended interest payments before 1989 and was still in suspension, 0 otherwise
Compare the implications of these two alternative specifications.
Show more…
Statistics for Business and Economics: Global Edition
Statistics for Business and Economics: Global Edition
Newbold P., Carlson… 8th Edition
Chapter 13, Problem 45 ↓

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Step 1

- The coefficient of \( x_1 \) is \(-9.6\). This means that if U.S. bank regulators have mandated a write-down for the country's assets on the books of U.S. banks (\( x_1 = 1 \)), the secondary market price of \$100 of the country's debt decreases by \$9.6,  Show more…

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The following model was fitted to data from 28 countries in 1989 in order to explain the market value of their debt at that time: $$ \begin{aligned} & \hat{y}=77.2-\underset{(8.0)}{9.6 x_1}-\underset{(2.73)}{17.2 x_2}-\underset{(0.056)}{0.15 x_3}+\underset{(1.0)}{2.2 x_4} \\ & R^2=0.84 \end{aligned} $$ $(8.0)$ (273) $(0056)$ $(1.0)$ $$ R^2=0.84 $$ where $$ \begin{aligned} & y= \text { secondary market price, in dollars, in } 1989 \\ & \text { of } \$ 100 \text { of the country's debt } \\ & x_1= 1 \text { if U.S. bank regulators have mandated } \\ & \text { write-down for the country's assets on books } \\ & \text { of U.S. banks, } 0 \text { otherwise } \\ & x_2= 1 \text { if the country suspended interest payments } \\ & \text { in } 1989,2 \text { if the country suspended interest } \\ & \text { payments before } 1989 \text { and was still in suspension, } \\ & \text { and } 0 \text { otherwise } \\ & x_3= \text { debt-to-gross-national-product ratio } \\ & x_4= \text { rate of real gross national product growth, } \\ & 1980-1985 \end{aligned} $$ The numbers below the coefficients are the coefficient standard errors. a. Interpret the estimated coefficient on $x_1$. b. Test the null hypothesis that, all else being equal, debt-to-gross-national-product ratio does not linearly influence the market value of a country's debt against the alternative that the higher this ratio, the lower the value of the debt. c. Interpret the coefficient of determination. d. The specification of the dummy variable $x_2$ is unorthodox. An alternative would be to replace $x_2$ by the pair of variables $\left(x_5, x_6\right)$, defined as follows: $x_5=1$ if the country suspended interest payments in 1989, 0 otherwise $x_6=1$ if the country suspended interest payments before 1989 and was still in suspension, 0 otherwise Compare the implications of these two alternative specifications.
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