Table 7 Principle component analysis...

Table 7

Principle component analysis

Component	Eigenvalue	Difference	Proportion	Cumulative
Comp1	2.997	1.049	0.3	0.300
Comp2	1.948	0.774	0.195	0.495
Comp3	1.17S	0.175	0.118	0.612
Comp4	0.999	0.022	0.100	0.712
Comps	0.978	0.077	0.098	0.810
Comp6	0.90	0.34	0.090	0.900
Comp7	0.559	0.364	0.056	0.956
Comp8	0.196	0.037	0.020	0.975
Comp9	0.158	0.069	0.016	0.991
Comp10	0.089		0.009	1.000

Component	Eigenvalue	Difference	Proportion	Cumulative
Comp1	2.997	1.049	0.3	0.300
Comp2	1.948	0.774	0.195	0.495
Comp3	1.17S	0.175	0.118	0.612
Comp4	0.999	0.022	0.100	0.712
Comps	0.978	0.077	0.098	0.810
Comp6	0.90	0.34	0.090	0.900
Comp7	0.559	0.364	0.056	0.956
Comp8	0.196	0.037	0.020	0.975
Comp9	0.158	0.069	0.016	0.991
Comp10	0.089		0.009	1.000

Variable	Comp1	Comp2	Comp3	Comp4	Comn5	Unexplained
Yl	0.5445	0.0478	−0.0789	−0.0235	0.024	0.09851
SLOPE	−0.2632	0.2742	0.5496	0.0954	−0.1667	0.255
CURV	−0.357	−0.158	0.0989	0.0417	0.0855	0.5487
INF	0.4788	0.1936	0.2643	0.0225	−0.1138	0.1447
CBRATE	0.4933	0.1595	0.1337	0.021	−0.0402	0.198
GROWTH	−0.002	0.017	−0.1688	0.9296	−0.3115	0.007295
FX_C	0.0589	0.0174	0.2696	0.3426	0.8903	0.01122
FIS_BAL	−0.1594	0.589	−0.2615	−0.0689	0.0903	0.1548
GOV_OEBT	0.064	−0.6727	−0.0903	0.0223	0.0247	0.09537
VIXI	−0.0338	−0.1857	0.6453	−0.0288	−0.2267	0.3892

Variable	Comp1	Comp2	Comp3	Comp4	Comn5	Unexplained
Yl	0.5445	0.0478	−0.0789	−0.0235	0.024	0.09851
SLOPE	−0.2632	0.2742	0.5496	0.0954	−0.1667	0.255
CURV	−0.357	−0.158	0.0989	0.0417	0.0855	0.5487
INF	0.4788	0.1936	0.2643	0.0225	−0.1138	0.1447
CBRATE	0.4933	0.1595	0.1337	0.021	−0.0402	0.198
GROWTH	−0.002	0.017	−0.1688	0.9296	−0.3115	0.007295
FX_C	0.0589	0.0174	0.2696	0.3426	0.8903	0.01122
FIS_BAL	−0.1594	0.589	−0.2615	−0.0689	0.0903	0.1548
GOV_OEBT	0.064	−0.6727	−0.0903	0.0223	0.0247	0.09537
VIXI	−0.0338	−0.1857	0.6453	−0.0288	−0.2267	0.3892

Note(s): This table reports the Principal Component Analysis of variables used in the main specifications: Y1, SLOPE, CURV, INF, CBRATE, GROWTH, FX_C, FIS_BAL, GOV_DEBT and VIXl. The upper part of the table is used to determine the number of components, while the lower part is used to determine factor grouping

Source(s): Authors' calculation

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