Table 2.

Results of unit root

VariableBefore crisiscrisisAfter crisis
Panel A: augmented Dickey–Fuller test
ΔLCDS−10.10***−6.27***−7.97***
ΔICDS−11.02***−6.75***−7.11***
Panel B: Phillips–Perrion test
ΔLCDS−26.43***−20.99***−27.34***
ΔICDS−25.93***−17.88***−20.37***

Note:

Significance at the 1%, 5% and 10% levels is indicated by ***, ** and *respectively

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