Empirical results of panel regression with fixed effects
| Variable | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| CoVaR (−1) | 0.032** (2.121) | 0.030* (2.014) | 0.043** (2.708) | 0.041** (2.597) | 0.031** (2.539) | 0.029** (2.496) |
| BVE(−1) | −0.231 (−1.636) | −0.279 * (−1.843) | −0.232 (−1.642) | |||
| AST(−1) | −0.080 (−0.382) | −0.084 (−0.390) | −0.136 (−0.779) | |||
| DTE(−1) | 0.007* (2.027) | 0.009** (2.671) | 0.008** (2.279) | 0.011*** (2.923) | 0.014** (2.250) | 0.017** (2.234) |
| VIX | 0.201*** (4.688) | 0.197*** (4.741) | 0.218*** (4.878) | 0.215*** (4.916) | ||
| FED | −0.055*** (−2.945) | −0.056*** (−3.009) | −0.075*** (−3.681) | −0.078*** (−3.785) | ||
| VUCI | 9.960*** (7.551) | 10.080*** (7.706) | ||||
| Cons | −0.687*** (−35.092) | −0.704*** (−34.075) | −0.688*** (−32.992) | −0.708*** (−32.939) | −1.136*** (−20.009) | −1.159*** (−21.022) |
| N | 756 | 756 | 756 | 756 | 756 | 756 |
| Variable | (1) | (2) | (3) | (4) | (5) | (6) |
|---|---|---|---|---|---|---|
| 0.032** (2.121) | 0.030* (2.014) | 0.043** (2.708) | 0.041** (2.597) | 0.031** (2.539) | 0.029** (2.496) | |
| BVE(−1) | −0.231 (−1.636) | −0.279 * (−1.843) | −0.232 (−1.642) | |||
| AST(−1) | −0.080 (−0.382) | −0.084 (−0.390) | −0.136 (−0.779) | |||
| DTE(−1) | 0.007* (2.027) | 0.009** (2.671) | 0.008** (2.279) | 0.011*** (2.923) | 0.014** (2.250) | 0.017** (2.234) |
| VIX | 0.201*** (4.688) | 0.197*** (4.741) | 0.218*** (4.878) | 0.215*** (4.916) | ||
| FED | −0.055*** (−2.945) | −0.056*** (−3.009) | −0.075*** (−3.681) | −0.078*** (−3.785) | ||
| VUCI | 9.960*** (7.551) | 10.080*** (7.706) | ||||
| Cons | −0.687*** (−35.092) | −0.704*** (−34.075) | −0.688*** (−32.992) | −0.708*** (−32.939) | −1.136*** (−20.009) | −1.159*** (−21.022) |
| 756 | 756 | 756 | 756 | 756 | 756 |
Note(s): (1) The Hausman test results choose fixed effects
(2) ***, ** and * denote significance level at 1%, 5% and 10%, respectively
(3) t-values are in the parentheses
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