Table 5 The Uncertainty and FPI net...

Table 5

The Uncertainty and FPI net inflows

(a) Dep. Var: FPIin	Sequential (two-stage) estimation of linear panel data models
Indep. Var	EPU	EPUvo	WUI	WUIvo
FPIin(−1)	0.702*** [0.003]	0.699*** [0.003]	0.703*** [0.004]	0.702*** [0.003]
GDPg	0.220*** [0.015]	0.229*** [0.016]	0.208*** [0.017]	0.202*** [0.014]
Sreturn	0.012*** [0.003]	0.014*** [0.004]	0.015*** [0.004]	0.021*** [0.003]
Scap	−0.010*** [0.003]	−0.012*** [0.002]	−0.012*** [0.002]	−0.014*** [0.002]
REER	−11.051*** [1.736]	−10.460*** [1.844]	−9.375*** [1.817]	−10.143*** [1.806]
Inf	−42.579*** [3.167]	−44.434*** [3.081]	−41.054*** [3.084]	−41.175*** [2.447]
TB	4.742*** [0.340]	4.678*** [0.328]	4.608*** [0.294]	4.535*** [0.320]
EPU	−0.664** [0.320]	−0.407*** [0.058]
WUI			1.344** [0.535]	0.570*** [0.080]
Constant	−2.649*** [0.666]	−2.353*** [0.567]	−2.496*** [0.515]	−2.179*** [0.515]
Long-run effect
GDPg	0.738*** [0.047]	0.761*** [0.051]	0.700*** [0.053]	0.679*** [0.045]
Sreturn	0.039*** [0.009]	0.045*** [0.013]	0.052*** [0.013]	0.071*** [0.011]
Scap	−0.034*** [0.01]	−0.041*** [0.007]	−0.042*** [0.007]	−0.046*** [0.007]
REER	−37.11*** [6.135]	−34.801*** [6.391]	−31.55*** [6.292]	−34.08*** [6.335]
Inf	−142.9*** [10.80]	−147.8*** [10.43]	−138.1*** [10.07]	−138.3*** [8.347]
TB	15.92*** [1.092]	15.56*** [1.035]	15.51*** [0.901]	15.24*** [0.995]
EPU	−2.229** [1.069]	−1.353*** [0.191]
WUI			4.522** [1.83]	1.916*** [0.275]
N	301	301	305	305
No. of Country	21	21	21	21
No. of IVs	19	19	19	19
AR(2) test – p-value	0.268	0.276	0.271	0.261
Hansen test – p-value	0.189	0.156	0.208	0.113

(a) Dep. Var: FPIin	Sequential (two-stage) estimation of linear panel data models
Indep. Var	EPU	EPUvo	WUI	WUIvo
FPIin(−1)	0.702*** [0.003]	0.699*** [0.003]	0.703*** [0.004]	0.702*** [0.003]
GDPg	0.220*** [0.015]	0.229*** [0.016]	0.208*** [0.017]	0.202*** [0.014]
Sreturn	0.012*** [0.003]	0.014*** [0.004]	0.015*** [0.004]	0.021*** [0.003]
Scap	−0.010*** [0.003]	−0.012*** [0.002]	−0.012*** [0.002]	−0.014*** [0.002]
REER	−11.051*** [1.736]	−10.460*** [1.844]	−9.375*** [1.817]	−10.143*** [1.806]
Inf	−42.579*** [3.167]	−44.434*** [3.081]	−41.054*** [3.084]	−41.175*** [2.447]
TB	4.742*** [0.340]	4.678*** [0.328]	4.608*** [0.294]	4.535*** [0.320]
EPU	−0.664** [0.320]	−0.407*** [0.058]
WUI			1.344** [0.535]	0.570*** [0.080]
Constant	−2.649*** [0.666]	−2.353*** [0.567]	−2.496*** [0.515]	−2.179*** [0.515]
Long-run effect
GDPg	0.738*** [0.047]	0.761*** [0.051]	0.700*** [0.053]	0.679*** [0.045]
Sreturn	0.039*** [0.009]	0.045*** [0.013]	0.052*** [0.013]	0.071*** [0.011]
Scap	−0.034*** [0.01]	−0.041*** [0.007]	−0.042*** [0.007]	−0.046*** [0.007]
REER	−37.11*** [6.135]	−34.801*** [6.391]	−31.55*** [6.292]	−34.08*** [6.335]
Inf	−142.9*** [10.80]	−147.8*** [10.43]	−138.1*** [10.07]	−138.3*** [8.347]
TB	15.92*** [1.092]	15.56*** [1.035]	15.51*** [0.901]	15.24*** [0.995]
EPU	−2.229** [1.069]	−1.353*** [0.191]
WUI			4.522** [1.83]	1.916*** [0.275]
N	301	301	305	305
No. of Country	21	21	21	21
No. of IVs	19	19	19	19
AR(2) test – p-value	0.268	0.276	0.271	0.261
Hansen test – p-value	0.189	0.156	0.208	0.113

(b) Dep. Var: FPIin	Sequential (two-stage) estimation of linear panel data models
FPIin(−1)	0.702*** [0.003]	0.700*** [0.003]	0.699*** [0.003]	0.700*** [0.003]	0.701*** [0.003]	0.745*** [0.003]
GDPg	0.214*** [0.015]	0.219*** [0.016]	0.223*** [0.014]	0.219*** [0.016]	0.222*** [0.016]	0.187*** [0.013]
Sreturn	0.013*** [0.003]	0.012*** [0.003]	0.012*** [0.003]	0.017*** [0.004]	0.020*** [0.004]	0.021*** [0.003]
Scap	−0.010*** [0.003]	−0.012*** [0.003]	−0.009** [0.004]	−0.013*** [0.002]	−0.013*** [0.002]	−0.013*** [0.002]
REER	−10.73*** [1.767]	−11.15*** [1.772]	−11.18*** [1.724]	−10.07*** [1.913]	−10.47*** [1.950]	−10.23*** [1.841]
Inf	−40.28*** [2.653]	−42.30*** [2.742]	−41.54*** [2.522]	−41.17*** [2.418]	−42.02*** [2.398]	−43.66*** [2.709]
TB	4.801*** [0.313]	4.834*** [0.300]	4.796*** [0.312]	4.647*** [0.329]	4.449*** [0.340]	3.801*** [0.334]
EPU	−0.676** [0.294]	−0.944*** [0.320]	−0.772** [0.334]
WUI	1.437*** [0.416]	1.164*** [0.438]	1.097*** [0.407]
EPU*WUI		4.914*** [1.351]
EPU/WUI			0.012*** [0.004]
EPUvo				−0.559*** [0.075]	−0.623*** [0.069]	−0.296* [0.154]
WUIvo				0.642*** [0.067]	0.523*** [0.079]	0.475*** [0.112]
EPUvo*WUIvo					−0.450*** [0.130]
EPUvo/WUIvo						−0.134** [0.059]
Constant	−2.909*** [0.620]	−2.762*** [0.580]	−2.792*** [0.671]	−2.373*** [0.545]	−2.053*** [0.563]	−1.625*** [0.593]
Long-run effect
GDPg	0.72*** [0.047]	0.731*** [0.052]	0.741*** [0.045]	0.729*** [0.05]	0.744*** [0.048]	0.734*** [0.049]
Sreturn	0.043*** [0.009]	0.041*** [0.011]	0.040*** [0.01]	0.057*** [0.013]	0.066*** [0.012]	0.081*** [0.011]
Scap	−0.033*** [0.01]	−0.039*** [0.009]	−0.031** [0.012]	−0.043*** [0.007]	−0.045*** [0.007]	−0.049*** [0.009]
REER	−36.04*** [6.213]	−37.21*** [6.215]	−37.18*** [6.004]	−33.56*** [6.639]	−35.05*** [6.825]	−40.12*** [7.556]
Inf	−135.2*** [8.991]	−141.1*** [9.348]	−138.1*** [8.429]	−137.2*** [8.068]	−140.5*** [7.923]	−171.1*** [10.73]
TB	16.12*** [0.982]	16.13*** [0.934]	15.94*** [0.993]	15.48*** [1.021]	14.88*** [1.065]	14.90*** [1.287]
EPU	−2.269** [0.984]	−3.151*** [1.065]	−2.566** [1.103]
WUI	4.827*** [1.417]	3.885*** [1.474]	3.646*** [1.368]
EPU*WUI		16.39*** [4.507]
EPU/WUI			0.041*** [0.012]
EPUvo				−1.863*** [0.255]	−2.082*** [0.228]	−1.159* [0.609]
WUIvo				2.138*** [0.234]	1.749*** [0.269]	1.862*** [0.433]
EPUvo*WUIvo					−1.505*** [0.441]
EPUvo/WUIvo						−0.524** [0.228]
N	301	301	301	301	301	301
No. of country	21	21	21	21	21	21
No. of IVs	20	21	21	20	21	22
AR(2) test – p-value	0.266	0.268	0.263	0.266	0.267	0.261
Hansen test – p-value	0.204	0.132	0.172	0.123	0.117	0.234

(b) Dep. Var: FPIin	Sequential (two-stage) estimation of linear panel data models
FPIin(−1)	0.702*** [0.003]	0.700*** [0.003]	0.699*** [0.003]	0.700*** [0.003]	0.701*** [0.003]	0.745*** [0.003]
GDPg	0.214*** [0.015]	0.219*** [0.016]	0.223*** [0.014]	0.219*** [0.016]	0.222*** [0.016]	0.187*** [0.013]
Sreturn	0.013*** [0.003]	0.012*** [0.003]	0.012*** [0.003]	0.017*** [0.004]	0.020*** [0.004]	0.021*** [0.003]
Scap	−0.010*** [0.003]	−0.012*** [0.003]	−0.009** [0.004]	−0.013*** [0.002]	−0.013*** [0.002]	−0.013*** [0.002]
REER	−10.73*** [1.767]	−11.15*** [1.772]	−11.18*** [1.724]	−10.07*** [1.913]	−10.47*** [1.950]	−10.23*** [1.841]
Inf	−40.28*** [2.653]	−42.30*** [2.742]	−41.54*** [2.522]	−41.17*** [2.418]	−42.02*** [2.398]	−43.66*** [2.709]
TB	4.801*** [0.313]	4.834*** [0.300]	4.796*** [0.312]	4.647*** [0.329]	4.449*** [0.340]	3.801*** [0.334]
EPU	−0.676** [0.294]	−0.944*** [0.320]	−0.772** [0.334]
WUI	1.437*** [0.416]	1.164*** [0.438]	1.097*** [0.407]
EPU*WUI		4.914*** [1.351]
EPU/WUI			0.012*** [0.004]
EPUvo				−0.559*** [0.075]	−0.623*** [0.069]	−0.296* [0.154]
WUIvo				0.642*** [0.067]	0.523*** [0.079]	0.475*** [0.112]
EPUvo*WUIvo					−0.450*** [0.130]
EPUvo/WUIvo						−0.134** [0.059]
Constant	−2.909*** [0.620]	−2.762*** [0.580]	−2.792*** [0.671]	−2.373*** [0.545]	−2.053*** [0.563]	−1.625*** [0.593]
Long-run effect
GDPg	0.72*** [0.047]	0.731*** [0.052]	0.741*** [0.045]	0.729*** [0.05]	0.744*** [0.048]	0.734*** [0.049]
Sreturn	0.043*** [0.009]	0.041*** [0.011]	0.040*** [0.01]	0.057*** [0.013]	0.066*** [0.012]	0.081*** [0.011]
Scap	−0.033*** [0.01]	−0.039*** [0.009]	−0.031** [0.012]	−0.043*** [0.007]	−0.045*** [0.007]	−0.049*** [0.009]
REER	−36.04*** [6.213]	−37.21*** [6.215]	−37.18*** [6.004]	−33.56*** [6.639]	−35.05*** [6.825]	−40.12*** [7.556]
Inf	−135.2*** [8.991]	−141.1*** [9.348]	−138.1*** [8.429]	−137.2*** [8.068]	−140.5*** [7.923]	−171.1*** [10.73]
TB	16.12*** [0.982]	16.13*** [0.934]	15.94*** [0.993]	15.48*** [1.021]	14.88*** [1.065]	14.90*** [1.287]
EPU	−2.269** [0.984]	−3.151*** [1.065]	−2.566** [1.103]
WUI	4.827*** [1.417]	3.885*** [1.474]	3.646*** [1.368]
EPU*WUI		16.39*** [4.507]
EPU/WUI			0.041*** [0.012]
EPUvo				−1.863*** [0.255]	−2.082*** [0.228]	−1.159* [0.609]
WUIvo				2.138*** [0.234]	1.749*** [0.269]	1.862*** [0.433]
EPUvo*WUIvo					−1.505*** [0.441]
EPUvo/WUIvo						−0.524** [0.228]
N	301	301	301	301	301	301
No. of country	21	21	21	21	21	21
No. of IVs	20	21	21	20	21	22
AR(2) test – p-value	0.266	0.268	0.263	0.266	0.267	0.261
Hansen test – p-value	0.204	0.132	0.172	0.123	0.117	0.234

Note(s): Standard errors are in [ ]. *, **, *** are significant levels at 10, 5 and 1%, respectively

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