Table 3 In-sample predictability (WTI as...

Table 3

In-sample predictability (WTI as proxy for oil uncertainty)

Sample period	Model-1	Model-2		Model-3
Sample period	Stock market uncertainty	Stock market uncertainty	Oil (WTI) market uncertainty	Stock market uncertainty	Oil (WTI) market uncertainty	Other global uncertainties
Brazil
FULL	0.0005*** [0.0001]	−0.0010*** [0.0002]	0.0029*** [0.0005]	−0.0001 [0.0004]	0.0046*** [0.0004]	0.1195*** [0.0219]
Pre-COVID	0.0071*** [0.0012]	0.0043*** [0.0011]	0.0153*** [0.0018]	0.0009*** [0.0002]	0.0154*** [0.0006]	0.2810*** [0.0063]
COVID	0.0057*** [0.0018]	−0.0088*** [0.0013]	0.0088*** [0.0003]	−0.0075*** [0.0028]	0.0097*** [0.0011]	0.1225** [0.0536]
RUW	0.0829*** [0.0076]	0.1346*** [0.0041]	0.1262*** [0.0132]	0.2011*** [0.0140]	0.0692*** [0.0145]	2.6577*** [0.4931]
China
FULL	0.0015 [0.0010]	0.0000 [0.0002]	0.0000 [0.0002]	0.0018** [0.0007]	−0.0007*** [0.0003]	0.0453** [0.0182]
Pre-COVID	0.0017* [0.0009]	0.0113*** [0.0021]	0.0064*** [0.0010]	0.0139*** [0.0015]	0.0058*** [0.0009]	0.2976*** [0.0068]
COVID	−0.0449*** [0.0047]	−0.0470*** [0.0065]	−0.0005** [0.0002]	−0.0473*** [0.0051]	0.0011*** [0.0003]	−0.4794*** [0.0159]
RUW	0.0154 [0.0131]	0.1177*** [0.0426]	−0.0238** [0.0097]	0.1698*** [0.0366]	−0.0492*** [0.0146]	0.0618 [0.2280]
India
FULL	0.0041*** [0.0008]	0.0071*** [0.0009]	−0.0028*** [0.0004]	0.0036*** [0.0002]	−0.0009** [0.0004]	0.0234*** [0.0032]
Pre-COVID	0.0026*** [0.0009]	0.0066*** [0.0015]	−0.0055*** [0.0003]	0.0099*** [0.0015]	−0.0065*** [0.0003]	0.1285*** [0.0126]
COVID	−0.0200 [0.0135]	0.0108 [0.0085]	0.0003 [0.0008]	−0.0140** [0.0058]	0.0002 [0.0011]	0.3170*** [0.0708]
RUW	−0.0627 [0.0738]	0.0345* [0.0177]	0.0968*** [0.0072]	0.0101 [0.0215]	0.0512*** [0.0122]	0.4387*** [0.1536]
Indonesia
FULL	0.5114*** [0.0201]	0.5080*** [0.0209]	0.0025*** [0.0003]	0.5105*** [0.0210]	0.0033*** [0.0007]	0.1929*** [0.0064]
Pre-COVID	0.5338*** [0.0275]	0.5354*** [0.0239]	0.0051*** [0.0011]	0.5383*** [0.0247]	0.0093*** [0.0023]	0.1022*** [0.0221]
COVID	0.4310*** [0.0383]	0.4338*** [0.0376]	−0.0008 [0.0010]	0.3947*** [0.0369]	0.0041*** [0.0005]	−0.3551*** [0.0115]
RUW	0.3158*** [0.0300]	0.3641*** [0.0406]	−0.0081 [0.0124]	0.0913* [0.0476]	−0.0221*** [0.0023]	2.0392*** [0.2211]
Russia
FULL	0.0002 [0.0007]	−0.0029*** [0.0010]	0.0033*** [0.0004]	−0.0002 [0.0010]	0.0018*** [0.0004]	0.1073*** [0.0069]
Pre-COVID	−0.0015** [0.0006]	0.0042*** [0.0014]	0.0010 [0.0014]	0.0007 [0.0015]	−0.0018* [0.0010]	0.2155*** [0.0045]
COVID	−0.0207 [0.0142]	−0.1329*** [0.0290]	0.0035*** [0.0006]	−0.1754*** [0.0339]	0.0043*** [0.0008]	0.0254 [0.0315]
RUW	0.0529*** [0.0076]	0.0727*** [0.0079]	−0.0262*** [0.0065]	0.2269*** [0.0209]	−0.0443*** [0.0100]	−4.9998*** [0.4580]
South Africa
FULL	0.0057*** [0.0004]	0.0045*** [0.0009]	0.0023*** [0.0004]	0.0031*** [0.0006]	0.0024*** [0.0005]	0.1064*** [0.0117]
Pre-COVID	0.0037*** [0.0012]	0.0063*** [0.0007]	−0.0035*** [0.0011]	0.0071*** [0.0009]	−0.0079*** [0.0014]	0.0270*** [0.0085]
COVID	0.0448*** [0.0053]	0.0514*** [0.0111]	0.0043*** [0.0010]	0.1091*** [0.0085]	0.0016*** [0.0004]	−0.6044*** [0.0144]
RUW	0.0134 [0.0138]	0.0795*** [0.0178]	0.0037 [0.0035]	0.1155*** [0.0362]	−0.0321*** [0.0021]	1.1064*** [0.0938]
South Korea
FULL	0.0233*** [0.0019]	0.0347*** [0.0024]	−0.0004 [0.0004]	0.0387*** [0.0008]	−0.0020*** [0.0003]	0.0798*** [0.0051]
Pre-COVID	0.0325*** [0.0021]	0.0184*** [0.0038]	0.0125*** [0.0029]	0.0308* [0.0167]	0.0121 [0.0132]	0.0430 [0.1464]
COVID	0.0356*** [0.0016]	0.0567** [0.0282]	−0.0028 [0.0035]	0.0546*** [0.0039]	0.0008 [0.0007]	−0.4291*** [0.0171]
RUW	0.0031 [0.0133]	−0.0103 [0.0240]	0.0258** [0.0100]	−0.0342 [0.0223]	0.0042 [0.0064]	0.5698*** [0.1761]
Turkey
FULL	−0.0097*** [0.0005]	−0.0142*** [0.0002]	0.0028*** [0.0002]	−0.0141*** [0.0008]	0.0035*** [0.0003]	0.2000*** [0.0117]
Pre-COVID	−0.0057** [0.0028]	−0.0049*** [0.0002]	0.0056*** [0.0004]	−0.0020** [0.0009]	0.0083*** [0.0005]	−0.2556*** [0.0111]
COVID	−0.0070 [0.0069]	−0.0536*** [0.0016]	0.0043*** [0.0005]	−0.0363*** [0.0060]	0.0057*** [0.0007]	0.2404*** [0.0250]
RUW	0.1038*** [0.0111]	0.1059*** [0.0193]	0.0077 [0.0051]	0.1037*** [0.0250]	0.0223** [0.0106]	−0.3109 [0.3551]
Vietnam
FULL	0.0499*** [0.0128]	0.0184*** [0.0021]	0.0003 [0.0002]	0.0204*** [0.0020]	0.0000 [0.0001]	0.0001 [0.0048]
Pre-COVID	0.1137*** [0.0170]	0.0914*** [0.0154]	0.0088 [0.0067]	0.0290*** [0.0047]	0.0127*** [0.0015]	0.0141** [0.0063]
COVID	0.0393*** [0.0081]	0.0508*** [0.0073]	0.0006*** [0.0001]	0.0439*** [0.0022]	0.0028*** [0.0001]	−0.5200*** [0.0075]
RUW	0.0807*** [0.0122]	0.0639*** [0.0098]	−0.0455*** [0.0055]	0.0665*** [0.0119]	−0.0677*** [0.0068]	0.6907*** [0.0551]

Sample period	Model-1	Model-2		Model-3
Sample period	Stock market uncertainty	Stock market uncertainty	Oil (WTI) market uncertainty	Stock market uncertainty	Oil (WTI) market uncertainty	Other global uncertainties
Brazil
FULL	0.0005*** [0.0001]	−0.0010*** [0.0002]	0.0029*** [0.0005]	−0.0001 [0.0004]	0.0046*** [0.0004]	0.1195*** [0.0219]
Pre-COVID	0.0071*** [0.0012]	0.0043*** [0.0011]	0.0153*** [0.0018]	0.0009*** [0.0002]	0.0154*** [0.0006]	0.2810*** [0.0063]
COVID	0.0057*** [0.0018]	−0.0088*** [0.0013]	0.0088*** [0.0003]	−0.0075*** [0.0028]	0.0097*** [0.0011]	0.1225** [0.0536]
RUW	0.0829*** [0.0076]	0.1346*** [0.0041]	0.1262*** [0.0132]	0.2011*** [0.0140]	0.0692*** [0.0145]	2.6577*** [0.4931]
China
FULL	0.0015 [0.0010]	0.0000 [0.0002]	0.0000 [0.0002]	0.0018** [0.0007]	−0.0007*** [0.0003]	0.0453** [0.0182]
Pre-COVID	0.0017* [0.0009]	0.0113*** [0.0021]	0.0064*** [0.0010]	0.0139*** [0.0015]	0.0058*** [0.0009]	0.2976*** [0.0068]
COVID	−0.0449*** [0.0047]	−0.0470*** [0.0065]	−0.0005** [0.0002]	−0.0473*** [0.0051]	0.0011*** [0.0003]	−0.4794*** [0.0159]
RUW	0.0154 [0.0131]	0.1177*** [0.0426]	−0.0238** [0.0097]	0.1698*** [0.0366]	−0.0492*** [0.0146]	0.0618 [0.2280]
India
FULL	0.0041*** [0.0008]	0.0071*** [0.0009]	−0.0028*** [0.0004]	0.0036*** [0.0002]	−0.0009** [0.0004]	0.0234*** [0.0032]
Pre-COVID	0.0026*** [0.0009]	0.0066*** [0.0015]	−0.0055*** [0.0003]	0.0099*** [0.0015]	−0.0065*** [0.0003]	0.1285*** [0.0126]
COVID	−0.0200 [0.0135]	0.0108 [0.0085]	0.0003 [0.0008]	−0.0140** [0.0058]	0.0002 [0.0011]	0.3170*** [0.0708]
RUW	−0.0627 [0.0738]	0.0345* [0.0177]	0.0968*** [0.0072]	0.0101 [0.0215]	0.0512*** [0.0122]	0.4387*** [0.1536]
Indonesia
FULL	0.5114*** [0.0201]	0.5080*** [0.0209]	0.0025*** [0.0003]	0.5105*** [0.0210]	0.0033*** [0.0007]	0.1929*** [0.0064]
Pre-COVID	0.5338*** [0.0275]	0.5354*** [0.0239]	0.0051*** [0.0011]	0.5383*** [0.0247]	0.0093*** [0.0023]	0.1022*** [0.0221]
COVID	0.4310*** [0.0383]	0.4338*** [0.0376]	−0.0008 [0.0010]	0.3947*** [0.0369]	0.0041*** [0.0005]	−0.3551*** [0.0115]
RUW	0.3158*** [0.0300]	0.3641*** [0.0406]	−0.0081 [0.0124]	0.0913* [0.0476]	−0.0221*** [0.0023]	2.0392*** [0.2211]
Russia
FULL	0.0002 [0.0007]	−0.0029*** [0.0010]	0.0033*** [0.0004]	−0.0002 [0.0010]	0.0018*** [0.0004]	0.1073*** [0.0069]
Pre-COVID	−0.0015** [0.0006]	0.0042*** [0.0014]	0.0010 [0.0014]	0.0007 [0.0015]	−0.0018* [0.0010]	0.2155*** [0.0045]
COVID	−0.0207 [0.0142]	−0.1329*** [0.0290]	0.0035*** [0.0006]	−0.1754*** [0.0339]	0.0043*** [0.0008]	0.0254 [0.0315]
RUW	0.0529*** [0.0076]	0.0727*** [0.0079]	−0.0262*** [0.0065]	0.2269*** [0.0209]	−0.0443*** [0.0100]	−4.9998*** [0.4580]
South Africa
FULL	0.0057*** [0.0004]	0.0045*** [0.0009]	0.0023*** [0.0004]	0.0031*** [0.0006]	0.0024*** [0.0005]	0.1064*** [0.0117]
Pre-COVID	0.0037*** [0.0012]	0.0063*** [0.0007]	−0.0035*** [0.0011]	0.0071*** [0.0009]	−0.0079*** [0.0014]	0.0270*** [0.0085]
COVID	0.0448*** [0.0053]	0.0514*** [0.0111]	0.0043*** [0.0010]	0.1091*** [0.0085]	0.0016*** [0.0004]	−0.6044*** [0.0144]
RUW	0.0134 [0.0138]	0.0795*** [0.0178]	0.0037 [0.0035]	0.1155*** [0.0362]	−0.0321*** [0.0021]	1.1064*** [0.0938]
South Korea
FULL	0.0233*** [0.0019]	0.0347*** [0.0024]	−0.0004 [0.0004]	0.0387*** [0.0008]	−0.0020*** [0.0003]	0.0798*** [0.0051]
Pre-COVID	0.0325*** [0.0021]	0.0184*** [0.0038]	0.0125*** [0.0029]	0.0308* [0.0167]	0.0121 [0.0132]	0.0430 [0.1464]
COVID	0.0356*** [0.0016]	0.0567** [0.0282]	−0.0028 [0.0035]	0.0546*** [0.0039]	0.0008 [0.0007]	−0.4291*** [0.0171]
RUW	0.0031 [0.0133]	−0.0103 [0.0240]	0.0258** [0.0100]	−0.0342 [0.0223]	0.0042 [0.0064]	0.5698*** [0.1761]
Turkey
FULL	−0.0097*** [0.0005]	−0.0142*** [0.0002]	0.0028*** [0.0002]	−0.0141*** [0.0008]	0.0035*** [0.0003]	0.2000*** [0.0117]
Pre-COVID	−0.0057** [0.0028]	−0.0049*** [0.0002]	0.0056*** [0.0004]	−0.0020** [0.0009]	0.0083*** [0.0005]	−0.2556*** [0.0111]
COVID	−0.0070 [0.0069]	−0.0536*** [0.0016]	0.0043*** [0.0005]	−0.0363*** [0.0060]	0.0057*** [0.0007]	0.2404*** [0.0250]
RUW	0.1038*** [0.0111]	0.1059*** [0.0193]	0.0077 [0.0051]	0.1037*** [0.0250]	0.0223** [0.0106]	−0.3109 [0.3551]
Vietnam
FULL	0.0499*** [0.0128]	0.0184*** [0.0021]	0.0003 [0.0002]	0.0204*** [0.0020]	0.0000 [0.0001]	0.0001 [0.0048]
Pre-COVID	0.1137*** [0.0170]	0.0914*** [0.0154]	0.0088 [0.0067]	0.0290*** [0.0047]	0.0127*** [0.0015]	0.0141** [0.0063]
COVID	0.0393*** [0.0081]	0.0508*** [0.0073]	0.0006*** [0.0001]	0.0439*** [0.0022]	0.0028*** [0.0001]	−0.5200*** [0.0075]
RUW	0.0807*** [0.0122]	0.0639*** [0.0098]	−0.0455*** [0.0055]	0.0665*** [0.0119]	−0.0677*** [0.0068]	0.6907*** [0.0551]

Note(s): The figures in each cell are the estimated coefficient with their corresponding standard errors in square brackets. The ^***, ^** and ^* denote statistical significance at 1%, 5% and 10%, respectively

[ViewLarge]

Sharing Unavailable