Cross-section dependence test
| Variable | CD-test |
|---|---|
| Y1 | 18.690*** |
| Y5 | 17.650*** |
| Y10 | 13.980*** |
| SLOPE | 11.380*** |
| CURV | 2.280** |
| INF | 8.660*** |
| CBRATE | 19.960*** |
| GROWTH | 22.330*** |
| FX_C | 24.140*** |
| VIXI | 71.500*** |
| FIS_BAL | 39.490*** |
| GOV_DEBT | 49.900*** |
| Variable | CD-test |
|---|---|
| Y1 | 18.690*** |
| Y5 | 17.650*** |
| Y10 | 13.980*** |
| SLOPE | 11.380*** |
| CURV | 2.280** |
| INF | 8.660*** |
| CBRATE | 19.960*** |
| GROWTH | 22.330*** |
| FX_C | 24.140*** |
| VIXI | 71.500*** |
| FIS_BAL | 39.490*** |
| GOV_DEBT | 49.900*** |
Note(s): This table reports Pesaran (2015a, b) cross section dependence test. The significance levels at 0.01, 0.05, and 0.1 are denoted by ***, **, and *, respectively
Source(s): Authors' calculation