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Regression for Moody's AAA Curve
Dependent variable (+/- SE):
Moody's AAA Curve
Constant3.240 (+/- 0.340)
p = 0.000***
SP500 Stock Price Index-0.001 (+/- 0.00004)
p = 0.000***
US Fed Reserve O-N Loan Rate-0.555 (+/- 0.125)
p = 0.0001***
Unemployment Rate-0.100 (+/- 0.024)
p = 0.0003***
Prime Rate0.493 (+/- 0.096)
p = 0.00002***
US Avg Retail Gasoline Price ($-gal; all grades, all formulations)0.372 (+/- 0.071)
p = 0.00001***
3-month Treasury Yield_20.067 (+/- 0.017)
p = 0.0004***
Observations40
R20.926
Adjusted R20.913
Residual Std. Error0.199 (df = 33)
F Statistic68.934*** (df = 6; 33)
Note:*p<0.1; **p<0.05; ***p<0.01