Table 4.
Results from the panel VAR.
| Variables | ytmd | lcc | lvix | utsd | ann |
|---|---|---|---|---|---|
| L.ytmd | 0.989*** | -0.788*** | -0.661*** | -0.00383*** | -0.257*** |
| (0.0144) | (0.0981) | (0.0706) | (0.000532) | (0.0661) | |
| L.lcc | 0.00125*** | 0.938*** | -0.0237*** | -0.000115*** | 0.00232 |
| (0.000313) | (0.00398) | (0.00196) | (1.51e-05) | (0.00145) | |
| L.lvix | 0.0111*** | -0.183*** | 0.829*** | -0.000108 | 0.0868*** |
| (0.00155) | (0.0198) | (0.00792) | (8.56e-05) | (0.00920) | |
| L.ustd | 2.008*** | 14.18*** | 43.39*** | 0.637*** | -14.48*** |
| (0.323) | (1.898) | (2.058) | (0.0130) | (1.061) | |
| L.ann | -0.00813*** | 0.0651*** | -0.0992*** | 0.000549*** | 0.493*** |
| (0.00127) | (0.0114) | (0.0126) | (4.49e-05) | (0.0417) | |
| Observations | 2,971 | 2,971 | 2,971 | 2,971 | 2,971 |
| Number of countries | 48 |
Notes: Standard errors in parentheses: *** p < 0.01, ** p < 0.05, and * p < 0.1 The PVAR model is estimated by a fixed-effect GMM, accounting for lags and using logarithm results in data losses on the temporal dimension. The number of lags is equal to 1 for the PVAR and 2 for the instruments; the estimates cause the sample to lose 48 * 2 = 96 points. The lcc variable leads to a loss of 5 points (see the descriptive statistics with a minimum of 0). Finally, for the PVAR estimate, the number of observations is 3072 - 96 - 5 = 2971.