Estimation results–NARDL models
| Full-sample: 1/02/2012 to 12/31/2021 | Sub-sample: 1/01/2020 to 12/31/2021 | ||||
|---|---|---|---|---|---|
| Lag structure | ARDL (3, 2, 1, 4, 4) | ARDL (3, 4, 1, 4, 3) | |||
| Variables | Coeff. | Std. error | Variables | Coeff. | Std. error |
| Panel A: long run | |||||
| LN_BON_POS | 0.405*** | 0.088 | LN_BON_POS | 0.312*** | 0.141 |
| LN_BON_NEG | 0.316*** | 0.141 | LN_BON_NEG | −0.056 | 0.214 |
| LN_JCI_POS | 0.090 | 0.179 | LN_JCI_POS | −0.239*** | 0.117 |
| LN_JCI_NEG | 0.138 | 0.144 | LN_JCI_NEG | −0.038 | 0.103 |
| C | 9.183*** | 0.041 | c | 9.514*** | 0.021 |
| Panel B: short run | |||||
| Δ(LN_EXC(−1)) | 0.029 | 0.019 | Δ(LN_EXC(−1)) | 0.095*** | 0.039 |
| Δ(LN_EXC(−2)) | 0.044*** | 0.018 | Δ(LN_EXC(−2)) | 0.212*** | 0.038 |
| Δ(LN_BON_POS) | 0.165*** | 0.012 | Δ(LN_BON_POS) | 0.336*** | 0.033 |
| Δ(LN_BON_POS(−1)) | −0.033*** | 0.012 | Δ(LN_BON_POS(−1)) | −0.059*** | 0.035 |
| Δ(LN_BON_NEG) | 0.147*** | 0.013 | Δ(LN_BON_POS(−2)) | 0.038 | 0.036 |
| Δ(LN_JCI_POS) | −0.106*** | 0.013 | Δ(LN_BON_POS(−3)) | −0.107*** | 0.028 |
| Δ(LN_JCI_POS(−1)) | 0.017 | 0.012 | Δ(LN_BON_NEG) | 0.262*** | 0.034 |
| Δ(LN_JCI_POS(−2)) | 0.012 | 0.012 | Δ(LN_JCI_POS) | −0.043** | 0.022 |
| Δ(LN_JCI_POS(−3)) | −0.031*** | 0.012 | Δ(LN_JCI_POS(−1)) | 0.037** | 0.021 |
| Δ(LN_JCI_NEG) | −0.076*** | 0.012 | Δ(LN_JCI_POS(−2)) | 0.065*** | 0.021 |
| Δ(LN_JCI_NEG(−1)) | −0.038*** | 0.012 | Δ(LN_JCI_POS(−3)) | −0.056*** | 0.019 |
| Δ(LN_JCI_NEG(−2)) | −0.042*** | 0.012 | Δ(LN_JCI_NEG) | −0.065*** | 0.024 |
| Δ(LN_JCI_NEG(−3)) | −0.023*** | 0.012 | Δ(LN_JCI_NEG(−1)) | −0.051*** | 0.024 |
| ECT(−1) | −0.006*** | 0.002 | Δ(LN_JCI_NEG(−2)) | −0.060*** | 0.024 |
| ECT(−1) | −0.036*** | 0.008 | |||
| Panel C: diagnostic tests | |||||
| Symmetry | 5.1(0.04)BON/6.6(0.01)JCI | 2.1(0.10)BON/3.9(0.05)JCI | |||
| LM | 1.283 | LM | 0.029 | ||
| ARCH | 34.687 | ARCH | 5.812 | ||
| RAMSEY | 8.897 | RAMSEY | 0.591 | ||
| Full-sample: 1/02/2012 to 12/31/2021 | Sub-sample: 1/01/2020 to 12/31/2021 | ||||
|---|---|---|---|---|---|
| Lag structure | ARDL (3, 2, 1, 4, 4) | ARDL (3, 4, 1, 4, 3) | |||
| Variables | Coeff. | Std. error | Variables | Coeff. | Std. error |
| LN_BON_POS | 0.405*** | 0.088 | LN_BON_POS | 0.312*** | 0.141 |
| LN_BON_NEG | 0.316*** | 0.141 | LN_BON_NEG | −0.056 | 0.214 |
| LN_JCI_POS | 0.090 | 0.179 | LN_JCI_POS | −0.239*** | 0.117 |
| LN_JCI_NEG | 0.138 | 0.144 | LN_JCI_NEG | −0.038 | 0.103 |
| C | 9.183*** | 0.041 | c | 9.514*** | 0.021 |
| Δ(LN_EXC(−1)) | 0.029 | 0.019 | Δ(LN_EXC(−1)) | 0.095*** | 0.039 |
| Δ(LN_EXC(−2)) | 0.044*** | 0.018 | Δ(LN_EXC(−2)) | 0.212*** | 0.038 |
| Δ(LN_BON_POS) | 0.165*** | 0.012 | Δ(LN_BON_POS) | 0.336*** | 0.033 |
| Δ(LN_BON_POS(−1)) | −0.033*** | 0.012 | Δ(LN_BON_POS(−1)) | −0.059*** | 0.035 |
| Δ(LN_BON_NEG) | 0.147*** | 0.013 | Δ(LN_BON_POS(−2)) | 0.038 | 0.036 |
| Δ(LN_JCI_POS) | −0.106*** | 0.013 | Δ(LN_BON_POS(−3)) | −0.107*** | 0.028 |
| Δ(LN_JCI_POS(−1)) | 0.017 | 0.012 | Δ(LN_BON_NEG) | 0.262*** | 0.034 |
| Δ(LN_JCI_POS(−2)) | 0.012 | 0.012 | Δ(LN_JCI_POS) | −0.043** | 0.022 |
| Δ(LN_JCI_POS(−3)) | −0.031*** | 0.012 | Δ(LN_JCI_POS(−1)) | 0.037** | 0.021 |
| Δ(LN_JCI_NEG) | −0.076*** | 0.012 | Δ(LN_JCI_POS(−2)) | 0.065*** | 0.021 |
| Δ(LN_JCI_NEG(−1)) | −0.038*** | 0.012 | Δ(LN_JCI_POS(−3)) | −0.056*** | 0.019 |
| Δ(LN_JCI_NEG(−2)) | −0.042*** | 0.012 | Δ(LN_JCI_NEG) | −0.065*** | 0.024 |
| Δ(LN_JCI_NEG(−3)) | −0.023*** | 0.012 | Δ(LN_JCI_NEG(−1)) | −0.051*** | 0.024 |
| ECT(−1) | −0.006*** | 0.002 | Δ(LN_JCI_NEG(−2)) | −0.060*** | 0.024 |
| ECT(−1) | −0.036*** | 0.008 | |||
| Symmetry | 5.1(0.04)BON/6.6(0.01)JCI | 2.1(0.10)BON/3.9(0.05)JCI | |||
| LM | 1.283 | LM | 0.029 | ||
| ARCH | 34.687 | ARCH | 5.812 | ||
| RAMSEY | 8.897 | RAMSEY | 0.591 | ||
Note(s): *** = p ≤ 0.01, ** = p ≤ 0.05 and * = p ≤ 0.10
Source(s): Authors’ calculations
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