Table 6 The Uncertainty and FPI net (a)...

Table 6

The Uncertainty and FPI net

(a) Dep. Var: FPInet	Sequential (two-stage) estimation of linear panel data models
Indep. Var	EPU	EPUvo	WUI	WUIvo
FPInet(−1)	0.415*** [0.068]	0.400*** [0.065]	0.406*** [0.051]	0.449*** [0.069]
GDPg	−0.150*** [0.056]	−0.140*** [0.053]	−0.126** [0.056]	−0.105* [0.063]
Sreturn	−0.005 [0.009]	−0.005 [0.010]	−0.006 [0.010]	−0.008 [0.011]
Scap	−0.015*** [0.005]	−0.016*** [0.004]	−0.012*** [0.005]	−0.013*** [0.004]
REER	10.127*** [2.533]	9.567*** [2.534]	9.029*** [2.331]	8.899*** [2.604]
Inf	−9.068** [3.817]	−10.701*** [3.084]	−6.642** [3.371]	−6.338* [3.451]
TB	1.404** [0.609]	1.418** [0.600]	1.419** [0.590]	1.136* [0.627]
EPU	1.171* [0.682]	0.954*** [0.319]
WUI			2.653** [1.321]	0.508*** [0.169]
Constant	−0.018 [0.640]	0.054 [0.627]	−0.443 [0.623]	−0.068 [0.620]
Long-run effect
GDPg	−0.256*** [0.082]	−0.233*** [0.078]	−0.211** [0.087]	−0.190* [0.105]
Sreturn	−0.009 [0.016]	−0.008 [0.017]	−0.010 [0.018]	−0.015 [0.021]
Scap	−0.025*** [0.009]	−0.027*** [0.008]	−0.021** [0.008]	−0.024*** [0.009]
REER	17.31*** [4.869]	15.94*** [4.667]	15.19*** [4.16]	16.13*** [5.19]
Inf	−15.50** [7.367]	−17.83*** [6.048]	−11.17* [5.925]	−11.49* [6.595]
TB	2.401*** [0.899]	2.363*** [0.889]	2.388*** [0.914]	2.060** [1.018]
EPU	2.002 [1.312]	1.590*** [0.572]
WUI			4.466* [2.333]	0.922** [0.372]
N	224	224	224	224
No. of Country	18	18	18	18
No. of IVs	17	17	17	17
AR(2) test – p-value	0.260	0.285	0.267	0.255
Hansen test – p-value	0.180	0.171	0.226	0.235

(a) Dep. Var: FPInet	Sequential (two-stage) estimation of linear panel data models
Indep. Var	EPU	EPUvo	WUI	WUIvo
FPInet(−1)	0.415*** [0.068]	0.400*** [0.065]	0.406*** [0.051]	0.449*** [0.069]
GDPg	−0.150*** [0.056]	−0.140*** [0.053]	−0.126** [0.056]	−0.105* [0.063]
Sreturn	−0.005 [0.009]	−0.005 [0.010]	−0.006 [0.010]	−0.008 [0.011]
Scap	−0.015*** [0.005]	−0.016*** [0.004]	−0.012*** [0.005]	−0.013*** [0.004]
REER	10.127*** [2.533]	9.567*** [2.534]	9.029*** [2.331]	8.899*** [2.604]
Inf	−9.068** [3.817]	−10.701*** [3.084]	−6.642** [3.371]	−6.338* [3.451]
TB	1.404** [0.609]	1.418** [0.600]	1.419** [0.590]	1.136* [0.627]
EPU	1.171* [0.682]	0.954*** [0.319]
WUI			2.653** [1.321]	0.508*** [0.169]
Constant	−0.018 [0.640]	0.054 [0.627]	−0.443 [0.623]	−0.068 [0.620]
Long-run effect
GDPg	−0.256*** [0.082]	−0.233*** [0.078]	−0.211** [0.087]	−0.190* [0.105]
Sreturn	−0.009 [0.016]	−0.008 [0.017]	−0.010 [0.018]	−0.015 [0.021]
Scap	−0.025*** [0.009]	−0.027*** [0.008]	−0.021** [0.008]	−0.024*** [0.009]
REER	17.31*** [4.869]	15.94*** [4.667]	15.19*** [4.16]	16.13*** [5.19]
Inf	−15.50** [7.367]	−17.83*** [6.048]	−11.17* [5.925]	−11.49* [6.595]
TB	2.401*** [0.899]	2.363*** [0.889]	2.388*** [0.914]	2.060** [1.018]
EPU	2.002 [1.312]	1.590*** [0.572]
WUI			4.466* [2.333]	0.922** [0.372]
N	224	224	224	224
No. of Country	18	18	18	18
No. of IVs	17	17	17	17
AR(2) test – p-value	0.260	0.285	0.267	0.255
Hansen test – p-value	0.180	0.171	0.226	0.235

(b) Dep. Var: FPInet	Sequential (two-stage) estimation of linear panel data models
FPInet(−1)	0.425*** [0.056]	0.411*** [0.061]	0.511*** [0.102]	0.456*** [0.072]	0.476*** [0.079]	0.399*** [0.129]
GDPg	−0.143*** [0.052]	−0.167 [0.109]	−0.121** [0.058]	−0.122** [0.059]	−0.122 [0.099]	−0.067 [0.100]
Sreturn	−0.005 [0.008]	−0.004 [0.008]	−0.011 [0.010]	−0.006 [0.010]	−0.009 [0.009]	−0.014* [0.008]
Scap	−0.014*** [0.005]	−0.014** [0.007]	−0.019*** [0.007]	−0.015*** [0.004]	−0.016*** [0.005]	0.001 [0.013]
REER	10.02*** [2.383]	10.76*** [2.564]	34.35** [14.157]	9.694*** [2.615]	10.29*** [2.725]	4.214 [12.778]
Inf	−7.842** [3.639]	−2.823 [29.519]	−14.07** [5.634]	−8.188** [3.287]	−7.869 [20.69]	52.69 [51.11]
TB	1.318** [0.550]	1.300 [1.101]	0.663 [0.498]	1.113* [0.578]	1.064 [0.937]	−0.834 [2.723]
EPU	1.065 [0.775]	0.698 [0.863]	1.010 [1.009]
WUI	2.587** [1.238]	3.427*** [1.305]	1.283 [1.428]
EPU*WUI		20.80*** [5.143]
EPU/WUI			0.007 [0.019]
EPUvo				0.759** [0.369]	0.826** [0.416]	−0.099 [0.391]
WUIvo				0.462*** [0.170]	0.591*** [0.183]	0.697*** [0.187]
EPUvo*WUIvo					0.640*** [0.219]
EPUvo/WUIvo						0.302*** [0.092]
Constant	−0.153 [0.614]	−0.490 [0.629]	0.989 [0.738]	0.195 [0.577]	0.187 [0.636]	−1.268 [1.078]
Long-run effect
GDPg	−0.249*** [0.078]	−0.283 [0.173]	−0.247** [0.120]	−0.225** [0.097]	−0.232 [0.176]	−0.111 [0.168]
Sreturn	−0.008 [0.015]	−0.007 [0.013]	−0.022 [0.025]	−0.011 [0.019]	−0.017 [0.019]	−0.023 [0.017]
Scap	−0.024*** [0.009]	−0.024** [0.012]	−0.040*** [0.012]	−0.028*** [0.008]	−0.030*** [0.011]	0.002 [0.022]
REER	17.44*** [4.528]	18.27*** [5.202]	70.21** [28.314]	17.82*** [5.42]	19.63*** [6.199]	7.017 [20.115]
Inf	−13.641** [6.925]	−4.793 [50.353]	−28.75*** [10.078]	−15.058** [6.586]	−15.004 [40.175]	87.75 [102.797]
TB	2.293*** [0.853]	2.207 [1.925]	1.355 [0.905]	2.047** [0.929]	2.028 [1.774]	−1.389 [4.808]
EPU	1.852 [1.437]	1.185 [1.492]	2.064 [1.99]	1.397** [0.672]	1.575** [0.783]	−0.164 [0.669]
WUI	4.501** [2.275]	5.818** [2.305]	2.621 [3.088]
EPU*WUI		35.32*** [8.009]
EPU/WUI			0.013 [0.042]
EPUvo				0.850** [0.381]	1.126*** [0.434]	1.160** [0.47]
WUIvo					1.221*** [0.391]
EPUvo*WUIvo						0.504*** [0.17]
EPUvo/WUIvo				0.85** [0.381]	1.126*** [0.434]	1.160** [0.47]
N	224	224	224	224	224	224
No. of country	18	18	18	18	18	18
No. of IVs	18	19	19	18	19	20
AR(2) test – p-value	0.261	0.257	0.264	0.268	0.252	0.235
Hansen test – p-value	0.165	0.115	0.411	0.159	0.147	0.713

(b) Dep. Var: FPInet	Sequential (two-stage) estimation of linear panel data models
FPInet(−1)	0.425*** [0.056]	0.411*** [0.061]	0.511*** [0.102]	0.456*** [0.072]	0.476*** [0.079]	0.399*** [0.129]
GDPg	−0.143*** [0.052]	−0.167 [0.109]	−0.121** [0.058]	−0.122** [0.059]	−0.122 [0.099]	−0.067 [0.100]
Sreturn	−0.005 [0.008]	−0.004 [0.008]	−0.011 [0.010]	−0.006 [0.010]	−0.009 [0.009]	−0.014* [0.008]
Scap	−0.014*** [0.005]	−0.014** [0.007]	−0.019*** [0.007]	−0.015*** [0.004]	−0.016*** [0.005]	0.001 [0.013]
REER	10.02*** [2.383]	10.76*** [2.564]	34.35** [14.157]	9.694*** [2.615]	10.29*** [2.725]	4.214 [12.778]
Inf	−7.842** [3.639]	−2.823 [29.519]	−14.07** [5.634]	−8.188** [3.287]	−7.869 [20.69]	52.69 [51.11]
TB	1.318** [0.550]	1.300 [1.101]	0.663 [0.498]	1.113* [0.578]	1.064 [0.937]	−0.834 [2.723]
EPU	1.065 [0.775]	0.698 [0.863]	1.010 [1.009]
WUI	2.587** [1.238]	3.427*** [1.305]	1.283 [1.428]
EPU*WUI		20.80*** [5.143]
EPU/WUI			0.007 [0.019]
EPUvo				0.759** [0.369]	0.826** [0.416]	−0.099 [0.391]
WUIvo				0.462*** [0.170]	0.591*** [0.183]	0.697*** [0.187]
EPUvo*WUIvo					0.640*** [0.219]
EPUvo/WUIvo						0.302*** [0.092]
Constant	−0.153 [0.614]	−0.490 [0.629]	0.989 [0.738]	0.195 [0.577]	0.187 [0.636]	−1.268 [1.078]
Long-run effect
GDPg	−0.249*** [0.078]	−0.283 [0.173]	−0.247** [0.120]	−0.225** [0.097]	−0.232 [0.176]	−0.111 [0.168]
Sreturn	−0.008 [0.015]	−0.007 [0.013]	−0.022 [0.025]	−0.011 [0.019]	−0.017 [0.019]	−0.023 [0.017]
Scap	−0.024*** [0.009]	−0.024** [0.012]	−0.040*** [0.012]	−0.028*** [0.008]	−0.030*** [0.011]	0.002 [0.022]
REER	17.44*** [4.528]	18.27*** [5.202]	70.21** [28.314]	17.82*** [5.42]	19.63*** [6.199]	7.017 [20.115]
Inf	−13.641** [6.925]	−4.793 [50.353]	−28.75*** [10.078]	−15.058** [6.586]	−15.004 [40.175]	87.75 [102.797]
TB	2.293*** [0.853]	2.207 [1.925]	1.355 [0.905]	2.047** [0.929]	2.028 [1.774]	−1.389 [4.808]
EPU	1.852 [1.437]	1.185 [1.492]	2.064 [1.99]	1.397** [0.672]	1.575** [0.783]	−0.164 [0.669]
WUI	4.501** [2.275]	5.818** [2.305]	2.621 [3.088]
EPU*WUI		35.32*** [8.009]
EPU/WUI			0.013 [0.042]
EPUvo				0.850** [0.381]	1.126*** [0.434]	1.160** [0.47]
WUIvo					1.221*** [0.391]
EPUvo*WUIvo						0.504*** [0.17]
EPUvo/WUIvo				0.85** [0.381]	1.126*** [0.434]	1.160** [0.47]
N	224	224	224	224	224	224
No. of country	18	18	18	18	18	18
No. of IVs	18	19	19	18	19	20
AR(2) test – p-value	0.261	0.257	0.264	0.268	0.252	0.235
Hansen test – p-value	0.165	0.115	0.411	0.159	0.147	0.713

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

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