The above is a regression output for a stock return of a bank (RMQG) against the market return (RORD), interest rate (INTEREST), unemployment rate (UNEMP), and change in (trade-weighted) exchange rate (RTWD) of Australia using the monthly data from 2010 to 2019 (119 observations). All variables are expressed in percentages (%).

What is the p-value for the nulll hypothesis that the coefficient of interest rate is equal to 0 against the one-tailed alternative?

a. 0.2740

b. 0.0842

c. 0.0421

d. 0.0000

Dependent Variable: RMQG Method: Least Squares Date: 06/30/20 Time: 16:55 Sample (adjusted): 2010MO2 2019M12 Included observations: 119 after adjustments Variable Coefficient Std. Error t-Statistic Prob. RORD INTEREST UNEMP RTWD -5.299928 1.224135 -0.696999 1.391149 -0.362148 7.471802 0.145467 0.400044 1.265579 0.206116 -0.709324 8.415219 -1.742307 1.099220 -1.757011 0.4796 0.0000 0.0842 0.2740 0.0816 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.426338 Mean dependent var 0.406210 S.D. dependent var 4.763334 Akaike info criterion 2586.586 Schwarz criterion -352.0524 Hannan-Quinn criter. 21.18086 Durbin-Watson stat 0.000000 0.863578 6.181510 6.000881 6.117651 6.048298 1.892017