Table 4.
Structural breaks in hedge ratios
| Canada | France | Germany | Italy | Japan | UK | US | World | |
|---|---|---|---|---|---|---|---|---|
| Date | 31 Dec 2019 | 31 Dec 2019 | 31 Dec 2019 | 31 Dec 2019 | 31 Dec 2019 | 31 Dec 2019 | 31 Dec 2019 | 31 Dec 2019 |
| Financial firms | ||||||||
| F (1,1882) | 41.39*** | 36.84*** | 0.44 | 9.51*** | 88.52*** | 0.62 | 4.07** | 7.08*** |
| Nonfinancial firms | ||||||||
| F (1,1882) | 39.22*** | 2.77* | 3.07* | 0.43 | 42.74*** | 0.88 | 4.68** | 6.62*** |
Notes: Chow Breakpoint test is conducted with a null hypothesis that there is no structural break on December 31, 2019 when the first confirmed case is reported by the WHO, with only regressor, constant allowed to vary across breakpoints.
*, **, and *** represent significance at the 10%, 5%, and 1% levels, respectively.