ARDL estimate of the effect of financial development and external shocks on macroeconomic volatility
| Variable | Model 1 | Model 2 | Model 3 | Model 4 |
|---|---|---|---|---|
| Dependent variable | Output volatility | Inflation volatility | ||
| Long run | ||||
| DCP | −0.135** (−2.218) | −0.236*** (−2.958) | ||
| MRK | 0.128*** (3.548) | 0.791*** (14.449) | ||
| OPS | 0.160** (1.955) | −0.116 (−1.204) | 0.087** (2.186) | 0.041* (1.829) |
| DCP*OPS | −0.019* (−1.973) | −0.001 (−0.064) | ||
| MRK*OPS | −0.001** (−2.248) | 0.097*** (7.249) | ||
| EXR | 0.023*** (6.393) | 0.013*** (5.810) | 0.025*** (2.616) | −0.093 (−1.153) |
| RES | 0.433*** (7.705) | 0.345*** (17.407) | 0.082 (0.824) | 0.190 (0.535) |
| Short run | ||||
| D(DCP) | −0.015** (−2.475) | −0.001 (−0.574) | ||
| D(MRK) | 0.0173* (1.848) | 0.062*** (2.834) | ||
| D(MRK(−1)) | −0.030** (−3.165) | |||
| D(OPS) | 0.097*** (3.008) | −0.002 (−1.084) | 0.289*** (3.638) | 3.838*** (4.540) |
| D(OPS(−1)) | 0.008*** (4.514) | 0.217*** (2.785) | ||
| D(OPS(−2)) | 0.005*** (3.053) | |||
| D(DCP*OPS) | −0.001*** (−5.400) | −0.003 (−0.676) | ||
| D(DCP*OPS (−1)) | −0.0004*** (−4.676) | |||
| D(DCP*OPS (−2)) | −0.0003*** (−3.361) | |||
| D(DCP*OPS (−3)) | −0.0003*** (−3.539) | |||
| D(MRK*OPS) | −0.102* (0.055) | −0.121*** (−6.143) | ||
| D(MRK*OPS(−1)) | −0.025* (−1.758) | |||
| D(EXR) | 0.107** (2.068) | 0.005*** (3.150) | 0.097*** (8.207) | 0.097*** (7.796) |
| D(EXR(−1)) | −0.023* (−1.700) | |||
| D(RES) | −0.011** (−2.233) | 0.014 (0.279) | −0.212** (−2.274) | −0.118*** (−6.192) |
| D(RES(−1)) | −0.065 (−0.211) | −0.053 (−1.007) | −0.274*** (−3.498) | |
| D(RES(−2)) | −0.115** (−2.158) | −0.127** (−2.376) | ||
| CointEq(−1)* | −0.057*** (−7.672) | −0.084*** (−7.849) | −0.264*** (−5.212) | −0.208*** (−4.299) |
| Diagnostic statistics | ||||
| Adj. R2 | 0.286 | 0.265 | 0.540 | 0.438 |
| D-W | 2.192 | 2.111 | 1.973 | 1.730 |
| LM test (P/V) | 0.364 | 0.445 | 0.890 | 0.875 |
| Ramsey reset test (P/V) | 0.530 | 0.271 | 0.537 | 0.732 |
| Heteroscedasticity test (BPG)/p-value | 0.784 | 0.214 | 0.302 | 0.232 |
| CUMSUM | Stable | Stable | Stable | Stable |
| CUMSUM Sq. | Stable | Stable | Stable | Unstable |
| Variable | Model 1 | Model 2 | Model 3 | Model 4 |
|---|---|---|---|---|
| Dependent variable | Output volatility | Inflation volatility | ||
| Long run | ||||
| DCP | −0.135** (−2.218) | −0.236*** (−2.958) | ||
| MRK | 0.128*** (3.548) | 0.791*** (14.449) | ||
| OPS | 0.160** (1.955) | −0.116 (−1.204) | 0.087** (2.186) | 0.041* (1.829) |
| DCP*OPS | −0.019* (−1.973) | −0.001 (−0.064) | ||
| MRK*OPS | −0.001** (−2.248) | 0.097*** (7.249) | ||
| EXR | 0.023*** (6.393) | 0.013*** (5.810) | 0.025*** (2.616) | −0.093 (−1.153) |
| RES | 0.433*** (7.705) | 0.345*** (17.407) | 0.082 (0.824) | 0.190 (0.535) |
| Short run | ||||
| D(DCP) | −0.015** (−2.475) | −0.001 (−0.574) | ||
| D(MRK) | 0.0173* (1.848) | 0.062*** (2.834) | ||
| D(MRK(−1)) | −0.030** (−3.165) | |||
| D(OPS) | 0.097*** (3.008) | −0.002 (−1.084) | 0.289*** (3.638) | 3.838*** (4.540) |
| D(OPS(−1)) | 0.008*** (4.514) | 0.217*** (2.785) | ||
| D(OPS(−2)) | 0.005*** (3.053) | |||
| D(DCP*OPS) | −0.001*** (−5.400) | −0.003 (−0.676) | ||
| D(DCP*OPS (−1)) | −0.0004*** (−4.676) | |||
| D(DCP*OPS (−2)) | −0.0003*** (−3.361) | |||
| D(DCP*OPS (−3)) | −0.0003*** (−3.539) | |||
| D(MRK*OPS) | −0.102* (0.055) | −0.121*** (−6.143) | ||
| D(MRK*OPS(−1)) | −0.025* (−1.758) | |||
| D(EXR) | 0.107** (2.068) | 0.005*** (3.150) | 0.097*** (8.207) | 0.097*** (7.796) |
| D(EXR(−1)) | −0.023* (−1.700) | |||
| D(RES) | −0.011** (−2.233) | 0.014 (0.279) | −0.212** (−2.274) | −0.118*** (−6.192) |
| D(RES(−1)) | −0.065 (−0.211) | −0.053 (−1.007) | −0.274*** (−3.498) | |
| D(RES(−2)) | −0.115** (−2.158) | −0.127** (−2.376) | ||
| CointEq(−1)* | −0.057*** (−7.672) | −0.084*** (−7.849) | −0.264*** (−5.212) | −0.208*** (−4.299) |
| Diagnostic statistics | ||||
| Adj. | 0.286 | 0.265 | 0.540 | 0.438 |
| D-W | 2.192 | 2.111 | 1.973 | 1.730 |
| LM test (P/V) | 0.364 | 0.445 | 0.890 | 0.875 |
| Ramsey reset test (P/V) | 0.530 | 0.271 | 0.537 | 0.732 |
| Heteroscedasticity test (BPG)/ | 0.784 | 0.214 | 0.302 | 0.232 |
| CUMSUM | Stable | Stable | Stable | Stable |
| CUMSUM Sq. | Stable | Stable | Stable | Unstable |
Note(s): (1) ***, **, * Indicate significance at 1%, 5 and 10%, respectively. (2). Figures in bracket “()” are t-value (3). In models 1 and 2, output volatility is the dependent variable. (4). Inflation volatility is the dependent variable in models 3 and 4. The CUMSUM and CUMSUM Sq graphs are available upon request
Source(s): Authors' own work
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.