RW | M1 | M2 | M3 | M4 | M5 | M6 | |
---|---|---|---|---|---|---|---|
Panel A: full sample | |||||||
C | 0.031 [0.039] | 0.08 [0.10] | 0.004 [0.00] | − 0.395 [− 0.42] | − 0.437 [− 0.45] | − 0.273 [− 0.29] | − 0.274 [− 0.29] |
ΔVXTYN | − 0.141** [− 2.56] | − 0.163** [− 2.31] | − 0.136** [− 2.33] | − 0.137** [− 2.33] | − 0.143** [− 2.44] | − 0.142** [− 2.36] | |
ΔIP | − 2.301 [− 1.49] | − 2.119 [− 1.56] | − 2.095 [− 1.57] | − 2.199 [− 1.64] | − 2.209* [− 1.66] | ||
ΔS&P | 0.661** [2.11] | 0.732** [2.02] | 0.677* [1.92] | 0.679* [1.88] | |||
ΔEX | 0.275 [0.64] | 0.025 [0.05] | 0.025 [0.05] | ||||
ΔGOLD | − 0.175 [− 1.22] | − 0.18 [− 1.2] | |||||
ΔSPREAD | − 0.384 [− 0.1] | ||||||
R2 | 0.00 | 0.031 | 0.093 | 0.147 | 0.149 | 0.153 | 0.153 |
n | 207 | 207 | 207 | 207 | 207 | 207 | 207 |
Panel B: Feb 2003–Sep. 2011 | |||||||
C | 0.956 [1.01] | 1.111 [0.98] | 0.99 [0.89] | 0.839 [0.78] | 0.933 [0.81] | 1.016 [0.81] | 0.986 [0.81] |
ΔVXTYN | − 0.163** [− 2.43] | − 0.165** [− 2.31] | − 0.130** [− 2.08] | − 0.130** [− 2.07] | − 0.131** [− 2.04] | − 0.138** [− 2.03] | |
ΔIP | 2.787 [1.29] | 2.504 [1.31] | 2.418 [1.23] | 2.38 [1.19] | 2.497 [1.28] | ||
ΔSP | 0.433* [1.69] | 0.579** [2.24] | 0.552** [2.02] | 0.524* [1.72] | |||
ΔEX | 0.468 [1.02] | 0.361 [0.71] | 0.312 [0.58] | ||||
ΔGOLD | − 0.068 [− 0.31] | − 0.051 [− 0.24] | |||||
ΔSPRD | 1.933 [0.51] | ||||||
R2 | 0.00 | 0.050 | 0.11 | 0.148 | 0.156 | 0.157 | 0.161 |
n | 104 | 104 | 104 | 104 | 104 | 104 | 104 |
Panel C: Oct. 2011–May 2020 | |||||||
C | − 0.91 [− 0.69] | − 0.958 [− 0.8] | − 1.393 [− 1.2] | − 2.025* [− 1.75] | − 1.99 [− 1.65] | − 1.833 [− 1.11] | − 1.919 [− 1.22] |
ΔVXTYN | − 0.127* [− 1.84] | − 0.193** [− 2.56] | − 0.181** [− 2.47] | − 0.181** [− 2.45] | − 0.195** [− 2.09] | − 0.188** [− 2.06] | |
ΔIP | − 3.896*** [− 5.22] | − 3.515*** [− 4.73] | − 3.524*** [− 4.69] | − 3.722*** [− 10.58] | − 3.852*** [− 12.07] | ||
ΔSP | 0.785** [2.51] | 0.77** [2.22] | 0.70 [1.19] | 0.721 [1.34] | |||
ΔEX | − 0.076 [− 0.11] | − 0.484 [− 0.6] | − 0.63 [− 0.79] | ||||
ΔGOLD | − 0.353 [− 1.52] | − 0.447** [− 2.07] | |||||
ΔSPRD | − 6.264 [− 1.2] | ||||||
R2 | 0.00 | 0.022 | 0.231 | 0.277 | 0.277 | 0.289 | 0.298 |
n | 103 | 103 | 103 | 103 | 103 | 103 | 103 |