Two-stage least squares regression results with the instrumental variable for geopolitical uncertainty
| Panel A: Gold | ||||||
|---|---|---|---|---|---|---|
| (1) | (2) | (3) | ||||
| S&P 500 index | First | Second | First | Second | First | Second |
| Intercept | 353.19 (13.71) | 97.32 (1.71) | 267.99 (14.12) | 283.92 (7.96) | 109.83 (35.63) | 325.48 (4.85) |
| GPR | 0.03** (2.45) | 0.05*** (4.40) | 0.02** (2.01) | |||
| Predicted_gold | 0.69*** (2.70) | –0.36** (–2.24) | –2.51*** (–4.09) | |||
| Panel A: Gold | ||||||
|---|---|---|---|---|---|---|
| (1) | (2) | (3) | ||||
| S&P 500 index | First | Second | First | Second | First | Second |
| Intercept | 353.19 (13.71) | 97.32 (1.71) | 267.99 (14.12) | 283.92 (7.96) | 109.83 (35.63) | 325.48 (4.85) |
| GPR | 0.03** (2.45) | 0.05*** (4.40) | 0.02** (2.01) | |||
| Predicted_gold | 0.69*** (2.70) | –0.36** (–2.24) | –2.51*** (–4.09) | |||
| Panel B: Crude oil | ||||||
|---|---|---|---|---|---|---|
| (4) | (5) | (6) | ||||
| S&P 500 index | First | Second | First | Second | First | Second |
| Intercept | 319.93 (6.58) | 214.0 (5.13) | 237.63 (5.00) | 243.59 (9.02) | –31.39 (–6.96) | 31.62 (5.89) |
| GPR | 0.12*** (7.14) | 0.12*** (6.00) | 0.10*** (4.36) | |||
| Predicted_crude oil | 0.17* (1.81) | –0.09 (–1.41) | –0.59*** (–4.09) | |||
| Panel B: Crude oil | ||||||
|---|---|---|---|---|---|---|
| (4) | (5) | (6) | ||||
| S&P 500 index | First | Second | First | Second | First | Second |
| Intercept | 319.93 (6.58) | 214.0 (5.13) | 237.63 (5.00) | 243.59 (9.02) | –31.39 (–6.96) | 31.62 (5.89) |
| GPR | 0.12*** (7.14) | 0.12*** (6.00) | 0.10*** (4.36) | |||
| Predi | 0.17* (1.81) | –0.09 (–1.41) | –0.59*** (–4.09) | |||
Note(s): *** indicates significance at 1% level; ** indicates significance at 5% level; * indicates significance at 10% level. Variables with moderate-to-severe multicollinearity (VIF >10) are avoided in each model. Controls and Fixed Effects are included in each model, but not reported. T-statistics values are in parentheses. The sample period is the weekly observations from Jan’2020 to Mar’2022
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