Table 4 Coefficients and t -ratios for...

Table 4

Coefficients and t-ratios for country index lags in VAR models

	Intercept	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)	Lag (−6)
Panel A: (established markets)
Australia	4.5E-05	−0.3843	−0.0469	−0.0781	0.0006	−0.0124
Australia	0.21	−18.47***	−2.13**	−3.54***	0.03	−0.66
Canada	0.0001	−0.0880	−0.0319	0.0439	0.0007	−0.0132
Canada	0.53	−3.12***	−1.12	1.54	0.02	−0.47
France	−4.1E-05	−0.4470	−0.0815	−0.1002	−0.0011	−0.0595
France	−0.17	−15.23***	−2.63***	−3.23***	−0.03	−2.03**
Germany	0.0002	−0.2769	−0.0168	−0.0788	0.0195	0.0008	0.0673
Germany	1.04	−9.60***	−0.56	−2.64***	0.65	0.03	2.33**
Hong Kong	0.0001	−0.2988	−0.0758	−0.0594	−0.0374	−0.0300
Hong Kong	0.57	−15.70***	−3.85***	−3.02***	−1.90*	−1.68*
Israel	0.0003	0.0301	0.0172	−0.0319	−0.0048
Israel	1.29	1.82*	1.04	−1.93*	−0.29
Japan	0.0001	−0.4225	−0.1505	−0.0525
Japan	0.71	−24.51***	−8.18***	−3.34***
Sweden	0.0001	−0.3440	−0.1290	−0.1024	−0.0690	−0.0591
Sweden	0.38	−13.05***	−4.74***	−3.76***	−2.55**	−2.24**
UK	−0.0001	−0.4581	−0.1260	−0.0988	−0.0531	−0.1413
UK	−0.47	−15.80***	−4.08***	−3.20***	−1.73*	−4.88***
US	0.0003	−0.1621	−0.1144	0.0176	−0.0736	−0.0121
US	1.42	−4.14***	−2.65***	0.40	−1.71*	−0.34

	Intercept	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)	Lag (−6)
Panel A: (established markets)
Australia	4.5E-05	−0.3843	−0.0469	−0.0781	0.0006	−0.0124
Australia	0.21	−18.47***	−2.13**	−3.54***	0.03	−0.66
Canada	0.0001	−0.0880	−0.0319	0.0439	0.0007	−0.0132
Canada	0.53	−3.12***	−1.12	1.54	0.02	−0.47
France	−4.1E-05	−0.4470	−0.0815	−0.1002	−0.0011	−0.0595
France	−0.17	−15.23***	−2.63***	−3.23***	−0.03	−2.03**
Germany	0.0002	−0.2769	−0.0168	−0.0788	0.0195	0.0008	0.0673
Germany	1.04	−9.60***	−0.56	−2.64***	0.65	0.03	2.33**
Hong Kong	0.0001	−0.2988	−0.0758	−0.0594	−0.0374	−0.0300
Hong Kong	0.57	−15.70***	−3.85***	−3.02***	−1.90*	−1.68*
Israel	0.0003	0.0301	0.0172	−0.0319	−0.0048
Israel	1.29	1.82*	1.04	−1.93*	−0.29
Japan	0.0001	−0.4225	−0.1505	−0.0525
Japan	0.71	−24.51***	−8.18***	−3.34***
Sweden	0.0001	−0.3440	−0.1290	−0.1024	−0.0690	−0.0591
Sweden	0.38	−13.05***	−4.74***	−3.76***	−2.55**	−2.24**
UK	−0.0001	−0.4581	−0.1260	−0.0988	−0.0531	−0.1413
UK	−0.47	−15.80***	−4.08***	−3.20***	−1.73*	−4.88***
US	0.0003	−0.1621	−0.1144	0.0176	−0.0736	−0.0121
US	1.42	−4.14***	−2.65***	0.40	−1.71*	−0.34

	Intercept	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)
Panel B: (emerging markets)
Brazil	0.0003	−0.0131	0.0024	−0.0430
Brazil	0.74	−0.58	0.11	−1.88*
Chile	0.0003	0.0959	0.0186	−0.0146	0.0065	−0.0259
Chile	1.19	4.43***	0.86	−0.67	0.30	−1.20
China	0.0002	−0.0142	−0.0163
China	0.57	−0.84	−0.97
Greece	−0.0004	0.0399	−0.0387
Greece	−1.25	2.17**	−2.10**
India	0.0003	−0.0433	−0.0737	−0.0178
India	1.20	−2.31**	−3.94***	−0.96
Malaysia	0.0001	0.0055	−0.0434	0.0019	0.0151
Malaysia	0.77	0.33	−2.65***	0.12	0.98
Mexico	0.0002	0.0151	0.0049	−0.0771	−0.0711
Mexico	0.92	0.70	0.23	−3.59***	−3.33***
Poland	0.0001	−0.0460	0.0154	−0.0021	−0.0375
Poland	0.18	−2.14**	0.72	−0.10	−1.75*
Russia	3.7E-05	−0.0954	−0.0574	−0.0425	0.0148	0.0093
Russia	0.10	−4.72***	−2.83***	−2.09**	0.73	0.46
South Africa	0.0002	−0.1853	0.0509	−0.0285
South Africa	0.68	−7.83***	2.12**	−1.21

	Intercept	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)
Panel B: (emerging markets)
Brazil	0.0003	−0.0131	0.0024	−0.0430
Brazil	0.74	−0.58	0.11	−1.88*
Chile	0.0003	0.0959	0.0186	−0.0146	0.0065	−0.0259
Chile	1.19	4.43***	0.86	−0.67	0.30	−1.20
China	0.0002	−0.0142	−0.0163
China	0.57	−0.84	−0.97
Greece	−0.0004	0.0399	−0.0387
Greece	−1.25	2.17**	−2.10**
India	0.0003	−0.0433	−0.0737	−0.0178
India	1.20	−2.31**	−3.94***	−0.96
Malaysia	0.0001	0.0055	−0.0434	0.0019	0.0151
Malaysia	0.77	0.33	−2.65***	0.12	0.98
Mexico	0.0002	0.0151	0.0049	−0.0771	−0.0711
Mexico	0.92	0.70	0.23	−3.59***	−3.33***
Poland	0.0001	−0.0460	0.0154	−0.0021	−0.0375
Poland	0.18	−2.14**	0.72	−0.10	−1.75*
Russia	3.7E-05	−0.0954	−0.0574	−0.0425	0.0148	0.0093
Russia	0.10	−4.72***	−2.83***	−2.09**	0.73	0.46
South Africa	0.0002	−0.1853	0.0509	−0.0285
South Africa	0.68	−7.83***	2.12**	−1.21

Note(s): The table reports the first set of coefficients for the country index equation in the VAR models, where the index is modelled as a function of its own lags

Coefficients are shown on top and t-ratios are reported underneath. Statistical significance at the 99%, 95% and 90% level of confidence is denoted by ***, ** and * respectively

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