Estimation results
| Direct Effects | Indirect effects | Total effects | |
|---|---|---|---|
| Variables | Coef. (SD) | Coef. (SD) | Coef. (SD) |
| Crude oil price | |||
| Oil | – | 0.0332 (0.0125)*** | 0.0332 (0.0125)*** |
| Gold | 0.0153 (0.0021)*** | −0.0114 (0.0011)*** | 0.0038 (0.0023)* |
| USD | 0.1415 (0.0641)** | 0.0063 (0.0305) | 0.1478 (0.0674)** |
| Stock | 0.0020 (0.0021) | −0.0069 (0.0010)*** | −0.0049 (0.0023)** |
| US CPI | – | 0.01648 (0.0337)*** | 0.1648 (0.0337)*** |
| US IR | – | −0.6022 (0.1921)*** | −0.6022 (0.1922)*** |
| DP | – | −0.0004 (0.0006) | −0.0004 (0.0006) |
| OFP | 0.9432 (0.0391)*** | 0.0313 (0.0252) | 0.9745 (0.0292)*** |
| US Oil import | 0.0001 (0.0004) | 4.28e-06 (0.00001) | 0.0001 (0.0004) |
| CN Oil import | −0.0193 (0.0111)* | −0.0006 (0.0007) | −0.0199 (0.0116)* |
| Const | −20.2239 (6.1672)*** | – | – |
| Gold price | |||
| Gold | – | −0.5586 (0.0567)*** | −0.5586 (0.0567)*** |
| Oil | 17.8585 (1.6889)*** | −12.1336 (0.9018)*** | 5.7249 (1.0333)*** |
| USD | 34.4538 (6.6154)*** | −28.0662 (3.7046)*** | 6.3876 (3.1927)** |
| Stock | −0.2607 (0.1803) | −0.1033 (0.1200) | −0.3639 (0.0804)*** |
| US CPI | – | 7.1211 (1.1059)*** | 7.1211 (1.1059)*** |
| US IR | – | −44.1064 (7.6078)*** | −44.1064 (7.6078)*** |
| DP | – | −0.0327 (0.0475) | −0.0327 (0.0475) |
| OFP | – | 5.3998 (0.8521)*** | 5.3998 (0.8521)*** |
| US Oil import | – | 0.0007 (0.0022) | 0.0007 (0.0022) |
| CN Oil import | – | 0.1104 (0.0648)* | −0.1104 (0.0648)* |
| Const | −3687.348 (721.1831)*** | – | – |
| US dollar | |||
| USD | – | −0.8058 (0.1190)*** | −0.8058 (0.1190)*** |
| Oil | −0.1039 (0.0562)* | −0.2708 (0.0526)*** | −0.3747 (0.0328)*** |
| Gold | −0.0517 (0.0068)*** | 0.0327 (0.0054)*** | −0.0190 (0.0016)*** |
| Stock | −0.0407 (0.0068)*** | 0.0370 (0.0056)*** | −0.0037 (0.0041) |
| US CPI | 1.1148 (0.1202)*** | −0.8984 (0.1459)*** | 0.2164 (0.0431)*** |
| US IR | – | −0.4494 (0.2968) | −0.4494 (0.2967) |
| DP | – | −0.0003 (0.0005) | −0.0003 (0.0005) |
| OFP | – | −0.3535 (0.0335)*** | −0.3535 (0.0335)*** |
| US Oil import | – | −0.00005 (0.0001) | −0.00005 (0.0001) |
| CN Oil import | – | 0.0072 (0.0042)* | 0.0072 (0.0042)* |
| Const | −18.4043 (13.8534) | – | – |
| Stock market | |||
| Stock | – | −0.4343 (0.0846)*** | −0.4343 (0.0845)*** |
| Oil | 4.1045 (1.0856)*** | −4.8112 (0.7209)*** | −0.7067 (1.0167) |
| Gold | 0.8677 (0.1070)*** | −0.9716 (0.0871)*** | −0.1039 (0.1022) |
| USD | 26.4588 (2.4047)*** | −15.1723 (1.0831)*** | 11.2865 (1.6721)*** |
| US CPI | – | 12.5826 (0.7475)*** | 12.5826 (0.7475)*** |
| US IR | 121.185 (11.0378)*** | −52.6349 (9.1257)*** | 68.5474 (5.3205)*** |
| DP | 0.0898 (0.1293) | −0.0390 (0.0561) | 0.0508 (0.0734) |
| OFP | – | 0.6665 (0.6495) | −0.6665 (0.6495) |
| US oil import | – | −0.0001 (0.0003) | −0.0001 (0.0003) |
| CN oil import | – | 0.0136 (0.0158) | 0.0136 (0.0158) |
| Const | −2,874.573 (316.657)*** | – | – |
| Log-likelihood | −12,441.742 | ||
| χ2 | 325.01 (0.0000) | ||
| No. of obs. | 250 | 250 | 250 |
| Direct Effects | Indirect effects | Total effects | |
|---|---|---|---|
| Variables | Coef. (SD) | Coef. (SD) | Coef. (SD) |
| Oil | – | 0.0332 (0.0125)*** | 0.0332 (0.0125)*** |
| Gold | 0.0153 (0.0021)*** | −0.0114 (0.0011)*** | 0.0038 (0.0023)* |
| USD | 0.1415 (0.0641)** | 0.0063 (0.0305) | 0.1478 (0.0674)** |
| Stock | 0.0020 (0.0021) | −0.0069 (0.0010)*** | −0.0049 (0.0023)** |
| US CPI | – | 0.01648 (0.0337)*** | 0.1648 (0.0337)*** |
| US IR | – | −0.6022 (0.1921)*** | −0.6022 (0.1922)*** |
| DP | – | −0.0004 (0.0006) | −0.0004 (0.0006) |
| OFP | 0.9432 (0.0391)*** | 0.0313 (0.0252) | 0.9745 (0.0292)*** |
| US Oil import | 0.0001 (0.0004) | 4.28e-06 (0.00001) | 0.0001 (0.0004) |
| CN Oil import | −0.0193 (0.0111)* | −0.0006 (0.0007) | −0.0199 (0.0116)* |
| Const | −20.2239 (6.1672)*** | – | – |
| Gold | – | −0.5586 (0.0567)*** | −0.5586 (0.0567)*** |
| Oil | 17.8585 (1.6889)*** | −12.1336 (0.9018)*** | 5.7249 (1.0333)*** |
| USD | 34.4538 (6.6154)*** | −28.0662 (3.7046)*** | 6.3876 (3.1927)** |
| Stock | −0.2607 (0.1803) | −0.1033 (0.1200) | −0.3639 (0.0804)*** |
| US CPI | – | 7.1211 (1.1059)*** | 7.1211 (1.1059)*** |
| US IR | – | −44.1064 (7.6078)*** | −44.1064 (7.6078)*** |
| DP | – | −0.0327 (0.0475) | −0.0327 (0.0475) |
| OFP | – | 5.3998 (0.8521)*** | 5.3998 (0.8521)*** |
| US Oil import | – | 0.0007 (0.0022) | 0.0007 (0.0022) |
| CN Oil import | – | 0.1104 (0.0648)* | −0.1104 (0.0648)* |
| Const | −3687.348 (721.1831)*** | – | – |
| USD | – | −0.8058 (0.1190)*** | −0.8058 (0.1190)*** |
| Oil | −0.1039 (0.0562)* | −0.2708 (0.0526)*** | −0.3747 (0.0328)*** |
| Gold | −0.0517 (0.0068)*** | 0.0327 (0.0054)*** | −0.0190 (0.0016)*** |
| Stock | −0.0407 (0.0068)*** | 0.0370 (0.0056)*** | −0.0037 (0.0041) |
| US CPI | 1.1148 (0.1202)*** | −0.8984 (0.1459)*** | 0.2164 (0.0431)*** |
| US IR | – | −0.4494 (0.2968) | −0.4494 (0.2967) |
| DP | – | −0.0003 (0.0005) | −0.0003 (0.0005) |
| OFP | – | −0.3535 (0.0335)*** | −0.3535 (0.0335)*** |
| US Oil import | – | −0.00005 (0.0001) | −0.00005 (0.0001) |
| CN Oil import | – | 0.0072 (0.0042)* | 0.0072 (0.0042)* |
| Const | −18.4043 (13.8534) | – | – |
| Stock | – | −0.4343 (0.0846)*** | −0.4343 (0.0845)*** |
| Oil | 4.1045 (1.0856)*** | −4.8112 (0.7209)*** | −0.7067 (1.0167) |
| Gold | 0.8677 (0.1070)*** | −0.9716 (0.0871)*** | −0.1039 (0.1022) |
| USD | 26.4588 (2.4047)*** | −15.1723 (1.0831)*** | 11.2865 (1.6721)*** |
| US CPI | – | 12.5826 (0.7475)*** | 12.5826 (0.7475)*** |
| US IR | 121.185 (11.0378)*** | −52.6349 (9.1257)*** | 68.5474 (5.3205)*** |
| DP | 0.0898 (0.1293) | −0.0390 (0.0561) | 0.0508 (0.0734) |
| OFP | – | 0.6665 (0.6495) | −0.6665 (0.6495) |
| US oil import | – | −0.0001 (0.0003) | −0.0001 (0.0003) |
| CN oil import | – | 0.0136 (0.0158) | 0.0136 (0.0158) |
| Const | −2,874.573 (316.657)*** | – | – |
| Log-likelihood | −12,441.742 | ||
| 325.01 (0.0000) | |||
| No. of obs. | 250 | 250 | 250 |
Notes: *,**,***Indicate that coefficients are statistically significant at 10, 5 and 1 percent levels, respectively
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