Table 5.

Results of vector auto-regressive analysis with control variables

PeriodVariableEstimateStd. errort-stat.p-value
Panel A: H4. LCDS → ICDS
Before crisisΔLCDS(−1)1.515282.008890.750.4522
ΔLCDS(−2)−1.010582.10316−0.480.6318
ΔLCDS(−3)0.578612.107870.270.7842
ΔLCDS(−4)2.365312.036511.160.2478
CrisisΔLCDS(−1)0.529600.180072.940.0042
 ΔLCDS(−2)0.013060.239590.050.9567
 ΔLCDS(−3)−0.235840.24577−0.960.3400
 ΔLCDS(−4)−0.317010.20653−1.530.1286
After crisisΔLCDS(−1)0.087160.098020.890.3752
 ΔLCDS(−2)0.141180.115031.230.2215
 ΔLCDS(−3)−0.023380.11329−0.210.8368
 ΔLCDS(−4)0.036960.093390.400.6928
Panel B: H6. ICDS → LCDS
Before crisisΔICDS(−1)0.000330.003760.090.9310
ΔICDS(−2)0.005370.003731.440.1523
ΔICDS(−3)0.001070.003760.280.7766
ΔICDS(−4)−0.000460.00371−0.120.9009
CrisisΔICDS(−1)−0.028240.05570−0.510.6134
 ΔICDS(−2)−0.077100.06952−1.110.2706
 ΔICDS(−3)0.029100.071450.410.6849
 ΔICDS(−4)−0.039830.05368−0.740.4602
After crisisΔICDS(−1)0.066700.056881.170.2427
 ΔICDS(−2)0.118950.068701.730.0853
 ΔICDS(−3)0.180020.067602.660.0085
 ΔICDS(−4)0.065160.056531.150.2508
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