I would like to know how to interpret the results of a regression that I'm running. I'm regressing the monthly returns of a portfolio given in decimal form on the monthly change in the TED spread (which is also given in decimal form). These 2 variables are both in percentages originally.
I'm getting the following results from the regression
Code:
reg portfolio1 changeted
portfolio1 | Coefficient | Std. Err. | t |
changeted | 1.722623 | 0.6577956 | 2.62 |
_cons | 0.0046564 | 0.0012223 | 3.81 |
1. A 1 percentage point increase in the monthly change of the TED spread increases the returns of the portfolio by 172 percentage points
2. A 1% increase in the monthly change in the TED spread increases the returns of the portfolio by 172%
Here's a subset of my data below so you can see how the relevant variables are depicted:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float mdate double portfolio1 float changeted 358 .00849232634736 -.0028476184 359 .0196473443785 .0002295738 360 .00908474893664 -.0018010028 361 -.00789620730366 -.0008674185 362 .0195815621909 -.0003057416 363 .027590637801 .0020110048 364 .000916804789517 -.0005902257 365 .0158492072062 -.0011095237 366 .0228994165542 -.0002857144 367 .0160825575945 .0005199136 368 .0436228907427 .001891866 369 .0429131154968 .001658134 370 -.00697735981956 .0010681814 371 .0216892669748 .0005894741 372 -.0095828701076 -.0005085217 373 -.0324055587067 -.003454636 374 -.0063345531009 -.0010813158 375 .000701541869713 -.0008307146 376 -.00404627954966 .0001476193 377 .0240512142543 .00038309535 378 .000794257469344 -.0007313639 379 -.000107101605566 -.0011945884 380 -.0114348075008 -.0004490479 381 -.00761210352102 .0008163638 382 .033791962529 .0004188996 383 .0174744570914 -.000015263446 384 -.042712548086 -.0014185715 385 -.0115241663969 -.0004714285 386 .0120620200275 .00022727274 387 .0114044506298 .0006477272 388 .00235680516069 -.0008907893 389 .0115165324735 .0000976075 390 .0113243855309 -.0003318181 391 .0333249198916 .000215 392 .00759933642572 .0005016667 393 .0144097172053 .0019904762 394 -.0133345697828 .0008902256 395 -.00943171681865 -.002456892 396 -.0373814303009 -.0007220551 397 -.0157087963392 -.000368421 398 -.0125583788066 -.00021304353 399 -.0254557869421 .0006980435 400 -.00886132794598 -.0007586842 401 -.0211462904909 -.00016722502 402 -.0127728666938 -.00007813843 403 -.0047867762325 -.00015714276 404 -.00181247685364 .00023333333 405 -.00387143948895 .0010778571 406 .0147179584594 .00010499987 407 .00182382931063 -.0006299999 408 -.0242212731622 -.00020473683 409 .0272000913751 -.0000526316 410 .0155942011949 .0008038902 411 .00510120234059 .0006879228 412 -.00116494962791 .00049555534 413 .0144875169313 .00004636357 414 -.00659186811291 .00025863666 415 .0186325126031 -.0008086367 416 .0160257094466 .0006493507 417 .0309753274867 .001664286 418 .0274654193376 -.0008300003 419 .00460671756132 .001935 420 .00574407730955 -.00152 421 -.00290292902279 -.0014139474 422 .0126022717027 .0004702518 423 -.000910747414227 .0004198067 424 -.00232210454743 -.0012634918 425 -.00376991614283 .0007887445 426 -.00587224952977 -.0006363639 427 -.0215626957343 .0003181817 428 .00919582327103 .0008318182 429 .0431705338809 .0007642857 430 -.00230383648953 -.001385714 431 -.00833769362855 .0008293232 432 -.0160017915454 -.000600752 433 .00873168041384 -.0009671426 434 -.00758796582581 -.00017095264 435 .00613113205471 .0011609523 436 .00637332670668 -.0006799996 437 .0182696639881 -.0000400003 438 .0235125729808 .0001718183 end format %tm mdate
0 Response to Interpretation of coefficients
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