Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil

doi:10.1186/s40854-023-00551-w

Financial Innovation

Table 4 Estimation results of the multivariate regression

From: Uncertainty about interest rates and crude oil prices

	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

The table reports the estimation results for \(R_{t + 1}^{Oil} = \alpha_{1} + \beta_{1} \sigma_{t} + Controls_{t} + \psi_{t + 1}\). The estimation is conducted gradually and concludes with six different model (M) specifications. The values in brackets are the t-statistics and are Newey-West (HAC) corrected. RW is defined as the random walk model \(R_{t + 1}^{Oil} = \alpha_{0} + \varepsilon_{t}\). The rest notations are defined as in Table 1
***, ** and * denote statistical significance at the levels 1%, 5% and 10%, respectively

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