Table 5 Coefficients and t -ratios for...

Table 5

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

	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)	Lag (−6)	F-stat
Panel A: (established markets)
Australia	9.8E-01	0.1254	0.0718	0.0713	−0.0195		128.30
Australia	35.12***	3.81***	2.16**	2.16**	−0.60
Canada	0.2324	−0.0104	−0.0443	0.0212	−0.1128		7.74
Canada	5.76***	−0.26	−1.09	0.52	−2.82***
France	8.1E-01	−0.0238	0.0748	0.0110	−0.0008		37.23
France	17.93***	−0.50	1.57	0.23	−0.02
Germany	0.5559	−0.0854	0.0736	−0.0295	−0.0792	−0.0774	16.80
Germany	12.60***	−1.88*	1.62	−0.65	−1.75*	−1.75*
Hong Kong	0.7678	0.0836	0.1468	−0.0078	0.0672		91.67
Hong Kong	29.73***	2.90***	5.07***	−0.27	2.33**
Israel	−0.0182	0.0370	0.0331	0.0521			2.59
Israel	−0.81	1.65*	1.47	2.33**
Japan	0.8392	0.1770	0.1262				278.72
Japan	38.46***	6.86***	4.88***
Sweden	0.6840	0.0761	0.0559	0.1179	−0.0354		27.19
Sweden	14.87***	1.61	1.18	2.50***	−0.76
UK	0.7433	0.0427	0.0599	0.0587	0.1002		42.76
UK	19.23	1.04	1.45	1.43	2.51**
US	0.0843	0.0386	−0.0118	0.0647	−0.0652		7.07
US	1.80	0.81	−0.25	0.05	−1.70*

	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)	Lag (−6)	F-stat
Panel A: (established markets)
Australia	9.8E-01	0.1254	0.0718	0.0713	−0.0195		128.30
Australia	35.12***	3.81***	2.16**	2.16**	−0.60
Canada	0.2324	−0.0104	−0.0443	0.0212	−0.1128		7.74
Canada	5.76***	−0.26	−1.09	0.52	−2.82***
France	8.1E-01	−0.0238	0.0748	0.0110	−0.0008		37.23
France	17.93***	−0.50	1.57	0.23	−0.02
Germany	0.5559	−0.0854	0.0736	−0.0295	−0.0792	−0.0774	16.80
Germany	12.60***	−1.88*	1.62	−0.65	−1.75*	−1.75*
Hong Kong	0.7678	0.0836	0.1468	−0.0078	0.0672		91.67
Hong Kong	29.73***	2.90***	5.07***	−0.27	2.33**
Israel	−0.0182	0.0370	0.0331	0.0521			2.59
Israel	−0.81	1.65*	1.47	2.33**
Japan	0.8392	0.1770	0.1262				278.72
Japan	38.46***	6.86***	4.88***
Sweden	0.6840	0.0761	0.0559	0.1179	−0.0354		27.19
Sweden	14.87***	1.61	1.18	2.50***	−0.76
UK	0.7433	0.0427	0.0599	0.0587	0.1002		42.76
UK	19.23	1.04	1.45	1.43	2.51**
US	0.0843	0.0386	−0.0118	0.0647	−0.0652		7.07
US	1.80	0.81	−0.25	0.05	−1.70*

	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)	F-stat
Panel B: (emerging markets)
Brazil	0.1729	−0.1121	−0.0047			4.87
Brazil	3.13***	−2.02**	−0.09
Chile	0.0732	−0.0218	−0.0442	0.0585	−0.0571	9.56
Chile	2.48**	−0.73	−1.49	1.97**	−1.93*
China	0.2768	−0.0272				23.98
China	9.60***	−0.93
Greece	0.2393	0.0028				17.04
Greece	5.99***	0.07
India	0.3904	0.0868	0.1036			31.37
India	12.18***	2.67***	3.17***
Malaysia	0.2247	0.2327	0.1123	0.0529		80.47
Malaysia	15.19***	15.14***	7.11***	3.33***
Mexico	0.2929	−0.1059	0.0515	0.1083		21.20
Mexico	8.30***	−2.97	1.44***	3.05
Poland	0.3739	−0.1298	−0.0065	0.0387		13.48
Poland	8.75***	−3.01***	−0.15	0.90
Russia	4.9E-01	0.0964	0.0040	0.0455	−0.0836	12.77
Russia	10.19***	1.97**	0.08	0.93	−1.71*
South Africa	0.6006	−0.2280	−0.0418			40.97
South Africa	13.88***	−5.14***	−0.94

	Lag (−1)	Lag (−2)	Lag (−3)	Lag (−4)	Lag (−5)	F-stat
Panel B: (emerging markets)
Brazil	0.1729	−0.1121	−0.0047			4.87
Brazil	3.13***	−2.02**	−0.09
Chile	0.0732	−0.0218	−0.0442	0.0585	−0.0571	9.56
Chile	2.48**	−0.73	−1.49	1.97**	−1.93*
China	0.2768	−0.0272				23.98
China	9.60***	−0.93
Greece	0.2393	0.0028				17.04
Greece	5.99***	0.07
India	0.3904	0.0868	0.1036			31.37
India	12.18***	2.67***	3.17***
Malaysia	0.2247	0.2327	0.1123	0.0529		80.47
Malaysia	15.19***	15.14***	7.11***	3.33***
Mexico	0.2929	−0.1059	0.0515	0.1083		21.20
Mexico	8.30***	−2.97	1.44***	3.05
Poland	0.3739	−0.1298	−0.0065	0.0387		13.48
Poland	8.75***	−3.01***	−0.15	0.90
Russia	4.9E-01	0.0964	0.0040	0.0455	−0.0836	12.77
Russia	10.19***	1.97**	0.08	0.93	−1.71*
South Africa	0.6006	−0.2280	−0.0418			40.97
South Africa	13.88***	−5.14***	−0.94

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

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

[ViewLarge]

Sharing Unavailable