|
Mean
|
Median
|
Min
|
Max
|
SD
|
Skewness
|
Kurtosis
|
JB
|
ADF
|
---|
Supply shock
|
− 0.001
|
0.018
|
− 2.684
|
2.713
|
0.848
|
− 0.008
|
3.905
|
8.662**
|
− 15.894***
|
Aggregate demand shock
|
0.028
|
0.034
|
− 4.778
|
3.072
|
1.052
|
− 0.314
|
5.024
|
38.717***
|
− 15.719***
|
Specific demand shock
|
0.048
|
0.127
|
− 5.181
|
2.276
|
0.955
|
− 0.855
|
5.819
|
70.946***
|
− 15.264***
|
CAC 40
|
0.000
|
0.008
|
− 0.192
|
0.126
|
0.052
|
− 0.691
|
4.116
|
33.379***
|
− 13.914***
|
DAX 30
|
0.003
|
0.075
|
− 1.019
|
0.464
|
0.275
|
− 1.510
|
5.367
|
155.825***
|
− 14.115***
|
FTSE MIB
|
− 0.000
|
0.007
|
− 0.149
|
0.083
|
0.040
|
− 0.792
|
4.089
|
39.101***
|
− 15.067***
|
N 225
|
− 0.002
|
0.002
|
− 0.222
|
0.341
|
0.070
|
0.224
|
5.621
|
74.849***
|
− 18.048***
|
FTSE 100
|
0.001
|
0.008
|
− 0.272
|
0.121
|
0.056
|
− 0.771
|
4.479
|
48.306***
|
− 13.795***
|
S&P500
|
0.003
|
0.009
|
− 0.186
|
0.102
|
0.043
|
− 0.802
|
4.445
|
49.346***
|
− 14.235***
|
TSX60
|
0.003
|
0.008
|
− 0.179
|
0.112
|
0.042
|
− 1.071
|
6.144
|
153.192***
|
− 12.557***
|
- ***, **, *Significance at the 1%, 5%, 10% level, respectively