documentclass[11pt]{article}
usepackage[
textwidth=155mm,
top=23.5mm,
bottom=23.5mm,
footskip=40pt,
heightrounded,
]{geometry}
usepackage[T1]{fontenc}
usepackage[utf8]{inputenc}
usepackage{lmodern} % math & rm
usepackage{microtype}
usepackage{threeparttable}
usepackage{threeparttablex} %
usepackage[table,xcdraw]{xcolor}
usepackage[skip=0.33baselineskip]{caption}
usepackage{array}
usepackage{booktabs,makecell}
usepackage{tabularx}
begin{document}
begin{table}[H]
    caption{List of variables}

    begin{threeparttable}
    renewcommand{arraystretch}{1.3}

        begin{tabular}{l p{7cm} p{3cm} p{2cm}} %%zxqdcolumn
            toprule
            multicolumn{1}{l}{Variable}  &  multicolumn{1}{l}{Explanation}  &
            multicolumn{1}{l}{Measure of} &  multicolumn{1}{l}{Source} \
            midrule

            multicolumn{4}{c}{textbf{Dependent variables}} \
            rule{0pt}{1ex}

            $Y^n_{eu,t}$ &  Yield on a 10-year zero coupon government bond of an eurozone country in the sample  & & Datastream \
            $Y^n_{us,t}$ &  Yield on the 10-year US zero coupon government bond & & Datastream \
            $R^n_{eu,t}$ &  10-year Overnight Index Swap rate of the EU & & Datastream \
            $R^n_{us,t}$ &  10-year Overnight Index Swap rate of the US & & Bloomberg
             \multicolumn{4}{c}{textbf{Control variables}} \
        rule{0pt}{1ex}
            $VSTOXX$ & Implied volatility of near term options on the EuroStoxx 50 index (eurozone equivalent of the VIX) & Euro-area risk aversion &  Datastream \
            $CDS$ & 10-year credit default swap of an eurozone country in the sample. Defined in Datastream as ''the mid-rate spread between the entity and the relevant benchmark curve'' & Country specific credit risk &  Datastream \
             $Redom$ & Redenomination risk. Calculated as the difference between the 5-year CDS of an eurozone country  dominated in dollars minus the 5-year CDS  dominated in Euro of that same country (this is called the quanto CDS), and quanto CDS of Germany ($Qcds_{t}$-$Qcds_{t_{Ger}}$) & Redenomination risk & Bloomberg \
            $CESI_{j}$ &  The Citigroup Economic Surprise Index (CESI) measures the surprise content of the release of macroeconomic and fiscal news (not monetary policy news) on a daily basis. A positive value indicates a positive surprise. $j in us,eu$.  & Macro-economic news & Datastream \
            $ECB$ & Impulse dummies which equal 1 on ECB UMP announcement days and 0 otherwise. See also Table A.2 in Appendix A.2. & UMP announcements of the ECB &  ECB website \
            bottomrule
    end{tabular}
begin{tablenotes}[para,flushleft]scriptsize{
    item textbf{Notes}: Rates and yields are measured in basis points. The variables $Y^n_{eu,t}$, $CDS$, $BAS$ and $Redom$ are collected for each eurozone country in the sample. The other  variables  are time-series observations.}
end{tablenotes}
end{threeparttable}
    end{table}
end{document}

newcommand{vname}[1]{mathrm{#1}} % or: mathit

documentclass[11pt]{article}
% I've simplified preamble to bare minimum
usepackage[textwidth=155mm,vmargin=23.5mm, footskip=40pt,
            heightrounded]{geometry}
usepackage[T1]{fontenc}
usepackage[utf8]{inputenc}
usepackage{lmodern}
usepackage{microtype}
usepackage[skip=0.33baselineskip]{caption}
usepackage{booktabs,array,ragged2e}
newcommand{vname}[1]{mathrm{#1}} % or: mathit
begin{document}

begin{table}[p] % not "H"!
renewcommand{arraystretch}{1.3}
setlength{tabcolsep}{0pt} % let LaTeX figure out intercolumn whitespace
caption{List of variables}

begin{tabular*}{textwidth}{@{extracolsep{fill}}
     l
     >{RaggedRightarraybackslash}p{7cm}
     >{RaggedRightarraybackslash}p{3cm}
     l}
toprule
Variable & Explanation & Measure of & Source \
midrule
multicolumn{4}{l}{Dependent variables} \
$Y^n_{eu,t}$ & Yield on a 10-year zero coupon government bond of a eurozone country in the sample & & Datastream \
$Y^n_{us,t}$ & Yield on the 10-year US zero coupon government bond & & Datastream \
$R^n_{eu,t}$ & 10-year Overnight Index Swap rate of the EU & & Datastream \
$R^n_{us,t}$ & 10-year Overnight Index Swap rate of the US & & Bloomberg \
addlinespace
multicolumn{4}{l}{Control variables} \
$vname{VSTOXX}$   & Implied volatility of near term options on the EuroStoxx 50 index (eurozone equivalent of the VIX) & Euro-area risk aversion &  Datastream \
$vname{CDS}$      & 10-year credit default swap of an eurozone country in the sample. Defined in Datastream as ``the mid-rate spread between the entity and the relevant benchmark curve'' & Country specific credit risk &  Datastream \
$vname{Redom}$    & Redenomination risk. Calculated as the difference between the 5-year CDS of an eurozone country  dominated in dollars minus the 5-year CDS  dominated in Euro of that same country (this is called the quanto CDS), and quanto CDS of Germany ($vname{Qcds}_{t}-vname{Qcds}_{t_{vname{Ger}}}$) & Redenomination risk & Bloomberg \
$vname{CESI}_{j}$ & The Citigroup Economic Surprise Index ($vname{CESI}$) measures the surprise content of the release of macroeconomic and fiscal news (not monetary policy news) on a daily basis. A positive value indicates a positive surprise. $jin{us,eu}$.  & Macroeconomic news & Datastream \
$vname{ECB}$      & Impulse dummies which equal $1$ on ECB UMP announcement days and~$0$ otherwise. See also Table A.2 in Appendix~A.2. & UMP announcements of the ECB &  ECB website \
bottomrule
addlinespace
end{tabular*}

footnotesize
textbf{Notes} Rates and yields are measured in basis points. The variables $Y^n_{eu,t}$, $vname{CDS}$, $vname{BAS}$ and $vname{Redom}$ are collected for each eurozone country in the sample. The other  variables  are time series observations.

end{table}
end{document}