Table 3 Estimates of the quantile...

Table 3

Estimates of the quantile regression models

Variable	R_Large-Value			R_Large-Growth			R_Small-Value			R_SmallGrowth
	τ₂₅	τ₅₀	τ₇₅	τ₂₅	τ₅₀	τ₇₅	τ₂₅	τ₅₀	τ₇₅	τ₂₅	τ₅₀	τ₇₅
	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)
PANEL A: Model 3 estimates
Cons	−0.029 (0.52)	−0.004 (0.84)	−0.027 (0.35)	−0.036 (0.11)	−0.022 (0.53)	0.040** (0.03)	0.025 (0.46)	0.024 (0.55)	0.007 (0.78)	−0.074 (0.13)	0.001 (0.98)	0.009 (0.86)
EPU	−0.056*** (0.01)	−0.046*** (0.00)	−0.031** (0.03)	−0.064*** (0.00)	−0.048*** (0.01)	−0.043*** (0.00)	−0.081*** (0.00)	−0.064*** (0.00)	−0.036*** (0.00)	−0.095*** (0.00)	−0.086*** (0.00)	−0.055** (0.02)
Cycle	0.028 (0.14)	0.016* (0.07)	0.021* (0.08)	0.020** (0.04)	0.021 (0.16)	0.002 (0.78)	0.006 (0.66)	0.002 (0.89)	0.008 (0.40)	0.035* (0.10)	0.007 (0.74)	0.014 (0.51)
Default spread	−3.880*** (0.00)	−1.099* (0.08)	2.449*** (0.01)	−2.488*** (0.00)	−0.163 (0.88)	1.016* (0.06)	−5.548*** (0.00)	−1.405 (0.24)	1.700** (0.01)	−2.546* (0.08)	0.479 (0.74)	1.730 (0.25)
Inflation	−1.544 (0.22)	−0.572 (0.34)	−0.114 (0.89)	0.359 (0.57)	−0.503 (0.62)	−1.442*** (0.01)	−0.034 (0.97)	−0.986 (0.39)	−1.856*** (0.01)	1.800 (0.19)	−0.967 (0.48)	−1.510 (0.29)
IPI	−1.196** (0.02)	−1.095*** (0.00)	−0.599* (0.06)	−0.667*** (0.01)	−0.631 (0.11)	−0.927*** (0.00)	−1.571*** (0.00)	−1.306*** (0.00)	−0.768*** (0.00)	−1.490*** (0.01)	−1.292** (0.02)	−0.727 (0.19)
Term spread	0.125 (0.76)	−0.045 (0.81)	0.058 (0.82)	0.373* (0.06)	−0.158 (0.62)	−0.513*** (0.00)	0.198 (0.52)	0.191 (0.60)	0.321 (0.12)	0.262 (0.55)	−0.019 (0.97)	0.154 (0.73)
GDP	2.711* (0.06)	2.744*** (0.00)	0.245 (0.79)	2.376*** (0.00)	1.760 (0.13)	3.122*** (0.00)	4.387*** (0.00)	4.776*** (0.00)	1.587** (0.03)	3.037* (0.06)	4.038*** (0.01)	0.775 (0.63)
No Obs	317	317	317	317	317	317	317	317	317	317	317	317
PANEL B: Model 4 estimates
Cons	−0.028 (0.54)	−0.001 (0.95)	0.009 (0.78)	−0.051*** (0.00)	−0.007 (0.81)	0.043** (0.03)	0.025 (0.41)	0.028 (0.37)	−0.008 (0.73)	−0.076 (0.16)	−0.018 (0.65)	0.029 (0.51)
EPU	−0.054 (0.53)	−0.179*** (0.00)	−0.149** (0.02)	−0.131*** (0.00)	−0.122** (0.02)	−0.190*** (0.00)	−0.088 (0.13)	−0.169*** (0.01)	−0.183*** (0.00)	−0.081 (0.43)	−0.280*** (0.00)	−0.293*** (0.00)
EPU $∙$ Cycle	−0.001 (0.98)	0.074*** (0.00)	0.067* (0.05)	0.037** (0.03)	0.041 (0.16)	0.078*** (0.00)	0.006 (0.84)	0.062* (0.06)	0.075*** (0.00)	−0.012 (0.83)	0.119*** (0.01)	0.127*** (0.01)
Cycle	0.028 (0.15)	0.016* (0.09)	0.006 (0.66)	0.027*** (0.00)	0.015 (0.21)	0.001 (0.91)	0.007 (0.59)	−0.003 (0.80)	0.015 (0.14)	0.036 (0.12)	0.015 (0.38)	0.007 (0.70)
Default spread	−3.865*** (0.00)	−1.367** (0.03)	1.659* (0.09)	−2.442*** (0.00)	−0.532 (0.52)	1.008* (0.09)	−5.662*** (0.00)	−0.437 (0.64)	1.779** (0.01)	−2.367 (0.14)	0.652 (0.58)	0.974 (0.46)
Inflation	−1.563 (0.22)	−0.454 (0.45)	−0.390 (0.67)	0.573 (0.20)	−0.393 (0.61)	−1.132** (0.04)	−0.045 (0.96)	−1.070 (0.23)	−1.772*** (0.01)	1.523 (0.31)	−0.900 (0.41)	−1.302 (0.30)
IPI	−1.172** (0.02)	−1.009*** (0.00)	−0.718** (0.05)	−0.882*** (0.00)	−0.533* (0.08)	−0.898*** (0.00)	−1.712*** (0.00)	−1.044*** (0.00)	−0.776*** (0.00)	−1.610*** (0.01)	−0.856** (0.05)	−0.529 (0.28)
Term spread	0.114 (0.77)	−0.028 (0.88)	0.038 (0.90)	0.431*** (0.00)	−0.142 (0.56)	−0.560*** (0.00)	0.248 (0.35)	0.215 (0.44)	0.329 (0.12)	0.232 (0.63)	0.224 (0.52)	0.104 (0.79)
GDP	2.714* (0.07)	1.913*** (0.01)	1.159 (0.28)	2.054*** (0.00)	1.234 (0.17)	2.192*** (0.00)	4.470*** (0.00)	3.646*** (0.00)	1.524** (0.05)	4.033** (0.02)	2.304* (0.07)	0.486 (0.74)
No Obs	317	317	317	317	317	317	317	317	317	317	317	317

Variable	R_Large-Value			R_Large-Growth			R_Small-Value			R_SmallGrowth
	τ₂₅	τ₅₀	τ₇₅	τ₂₅	τ₅₀	τ₇₅	τ₂₅	τ₅₀	τ₇₅	τ₂₅	τ₅₀	τ₇₅
	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)
PANEL A: Model 3 estimates
Cons	−0.029 (0.52)	−0.004 (0.84)	−0.027 (0.35)	−0.036 (0.11)	−0.022 (0.53)	0.040** (0.03)	0.025 (0.46)	0.024 (0.55)	0.007 (0.78)	−0.074 (0.13)	0.001 (0.98)	0.009 (0.86)
EPU	−0.056*** (0.01)	−0.046*** (0.00)	−0.031** (0.03)	−0.064*** (0.00)	−0.048*** (0.01)	−0.043*** (0.00)	−0.081*** (0.00)	−0.064*** (0.00)	−0.036*** (0.00)	−0.095*** (0.00)	−0.086*** (0.00)	−0.055** (0.02)
Cycle	0.028 (0.14)	0.016* (0.07)	0.021* (0.08)	0.020** (0.04)	0.021 (0.16)	0.002 (0.78)	0.006 (0.66)	0.002 (0.89)	0.008 (0.40)	0.035* (0.10)	0.007 (0.74)	0.014 (0.51)
Default spread	−3.880*** (0.00)	−1.099* (0.08)	2.449*** (0.01)	−2.488*** (0.00)	−0.163 (0.88)	1.016* (0.06)	−5.548*** (0.00)	−1.405 (0.24)	1.700** (0.01)	−2.546* (0.08)	0.479 (0.74)	1.730 (0.25)
Inflation	−1.544 (0.22)	−0.572 (0.34)	−0.114 (0.89)	0.359 (0.57)	−0.503 (0.62)	−1.442*** (0.01)	−0.034 (0.97)	−0.986 (0.39)	−1.856*** (0.01)	1.800 (0.19)	−0.967 (0.48)	−1.510 (0.29)
IPI	−1.196** (0.02)	−1.095*** (0.00)	−0.599* (0.06)	−0.667*** (0.01)	−0.631 (0.11)	−0.927*** (0.00)	−1.571*** (0.00)	−1.306*** (0.00)	−0.768*** (0.00)	−1.490*** (0.01)	−1.292** (0.02)	−0.727 (0.19)
Term spread	0.125 (0.76)	−0.045 (0.81)	0.058 (0.82)	0.373* (0.06)	−0.158 (0.62)	−0.513*** (0.00)	0.198 (0.52)	0.191 (0.60)	0.321 (0.12)	0.262 (0.55)	−0.019 (0.97)	0.154 (0.73)
GDP	2.711* (0.06)	2.744*** (0.00)	0.245 (0.79)	2.376*** (0.00)	1.760 (0.13)	3.122*** (0.00)	4.387*** (0.00)	4.776*** (0.00)	1.587** (0.03)	3.037* (0.06)	4.038*** (0.01)	0.775 (0.63)
No Obs	317	317	317	317	317	317	317	317	317	317	317	317
PANEL B: Model 4 estimates
Cons	−0.028 (0.54)	−0.001 (0.95)	0.009 (0.78)	−0.051*** (0.00)	−0.007 (0.81)	0.043** (0.03)	0.025 (0.41)	0.028 (0.37)	−0.008 (0.73)	−0.076 (0.16)	−0.018 (0.65)	0.029 (0.51)
EPU	−0.054 (0.53)	−0.179*** (0.00)	−0.149** (0.02)	−0.131*** (0.00)	−0.122** (0.02)	−0.190*** (0.00)	−0.088 (0.13)	−0.169*** (0.01)	−0.183*** (0.00)	−0.081 (0.43)	−0.280*** (0.00)	−0.293*** (0.00)
EPU $∙$ Cycle	−0.001 (0.98)	0.074*** (0.00)	0.067* (0.05)	0.037** (0.03)	0.041 (0.16)	0.078*** (0.00)	0.006 (0.84)	0.062* (0.06)	0.075*** (0.00)	−0.012 (0.83)	0.119*** (0.01)	0.127*** (0.01)
Cycle	0.028 (0.15)	0.016* (0.09)	0.006 (0.66)	0.027*** (0.00)	0.015 (0.21)	0.001 (0.91)	0.007 (0.59)	−0.003 (0.80)	0.015 (0.14)	0.036 (0.12)	0.015 (0.38)	0.007 (0.70)
Default spread	−3.865*** (0.00)	−1.367** (0.03)	1.659* (0.09)	−2.442*** (0.00)	−0.532 (0.52)	1.008* (0.09)	−5.662*** (0.00)	−0.437 (0.64)	1.779** (0.01)	−2.367 (0.14)	0.652 (0.58)	0.974 (0.46)
Inflation	−1.563 (0.22)	−0.454 (0.45)	−0.390 (0.67)	0.573 (0.20)	−0.393 (0.61)	−1.132** (0.04)	−0.045 (0.96)	−1.070 (0.23)	−1.772*** (0.01)	1.523 (0.31)	−0.900 (0.41)	−1.302 (0.30)
IPI	−1.172** (0.02)	−1.009*** (0.00)	−0.718** (0.05)	−0.882*** (0.00)	−0.533* (0.08)	−0.898*** (0.00)	−1.712*** (0.00)	−1.044*** (0.00)	−0.776*** (0.00)	−1.610*** (0.01)	−0.856** (0.05)	−0.529 (0.28)
Term spread	0.114 (0.77)	−0.028 (0.88)	0.038 (0.90)	0.431*** (0.00)	−0.142 (0.56)	−0.560*** (0.00)	0.248 (0.35)	0.215 (0.44)	0.329 (0.12)	0.232 (0.63)	0.224 (0.52)	0.104 (0.79)
GDP	2.714* (0.07)	1.913*** (0.01)	1.159 (0.28)	2.054*** (0.00)	1.234 (0.17)	2.192*** (0.00)	4.470*** (0.00)	3.646*** (0.00)	1.524** (0.05)	4.033** (0.02)	2.304* (0.07)	0.486 (0.74)
No Obs	317	317	317	317	317	317	317	317	317	317	317	317

Note(s): ***, ** and * indicate the significance at 1%, 5% and 10% levels, respectively

Source(s): Own elaboration

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