Table 4.

Results of vector auto-regressive analysis

PeriodVariableEstimateStandard errort-stat.p-value
Panel A: H2. LCDS → ICDS
Before crisisΔLCDS(−1)1.50031.98320.760.4508
ΔLCDS(−2)−1.04452.0542−0.510.6120
ΔLCDS(−3)0.29732.06910.140.8860
ΔLCDS(−4)2.14062.00631.070.2882
CrisisΔLCDS(−1)0.59140.19982.960.0040
 ΔLCDS(−2)0.04190.26780.160.8760
 ΔLCDS(−3)−0.22370.2733−0.820.4153
 ΔLCDS(−4)−0.23210.2286−1.020.3127
After crisisΔLCDS(−1)0.09320.09870.940.3465
 ΔLCDS(−2)0.16930.11551.470.1448
 ΔLCDS(−3)−0.00570.1136−0.050.9602
 ΔLCDS(−4)0.04190.09470.440.6588
Panel B: H4. ICDS → LCDS
Before crisisΔICDS(−1)−0.00080.0043−0.200.8456
ΔICDS(−2)0.00340.00430.790.4323
ΔICDS(−3)0.00130.00430.310.7548
ΔICDS(−4)−0.00190.0043−0.440.6641
CrisisΔICDS(−1)−0.00310.0683−0.050.9636
 ΔICDS(−2)−0.07530.0842−0.900.3731
 ΔICDS(−3)−0.00060.0843−0.010.9940
 ΔICDS(−4)−0.09420.0655−1.440.1538
After crisisΔICDS(−1)0.09340.05921.580.1165
 ΔICDS(−2)0.13100.07091.850.0665
 ΔICDS(−3)0.20570.06962.960.0036
 ΔICDS(−4)0.05030.05900.850.3954
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