Table 8.
Impact of policy contagion on policy announcements.
| Liquidity |
Prudential |
Borrower Support |
|||||||
|---|---|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | |
| Liquidity ratio | 0.003 | 0.003 | 0.000 | 0.001 | 0.003 | 0.006 | |||
| [0.002] | [0.004] | [0.003] | [0.003] | [0.003] | [0.004] | ||||
| Oil exposure | 0.000 | -0.003 | 0.003 | 0.001 | -0.005 | -0.004 | |||
| [0.005] | [0.005] | [0.004] | [0.005] | [0.005] | [0.005] | ||||
| Size | -0.005 | -0.005 | 0.006 | 0.006 | -0.000 | -0.002 | |||
| [0.003] | [0.003] | [0.004] | [0.004] | [0.004] | [0.004] | ||||
| Public bank | 0.003 | 0.012** | 0.009** | 0.012*** | 0.005 | 0.011** | |||
| [0.005] | [0.005] | [0.004] | [0.004] | [0.004] | [0.005] | ||||
| Capital ratio | -0.005 | -0.005 | 0.001 | 0.001 | -0.005 | -0.006 | |||
| [0.005] | [0.005] | [0.004] | [0.005] | [0.004] | [0.005] | ||||
| COVID | 0.003 | 0.002 | 0.001 | 0.001 | 0.000 | 0.000 | -0.001 | -0.000 | 0.001 |
| [0.002] | [0.002] | [0.002] | [0.002] | [0.002] | [0.002] | [0.001] | [0.001] | [0.002] | |
| Domestic returns | -0.001 | 0.003 | 0.008 | 0.018 | 0.019 | 0.021 | 0.003 | 0.011 | 0.019 |
| [0.010] | [0.011] | [0.017] | [0.011] | [0.012] | [0.024] | [0.009] | [0.009] | [0.023] | |
| Bank returns | -0.006 | -0.002 | -0.028 | -0.003 | 0.001 | -0.017 | -0.012 | -0.010 | 0.002 |
| [0.008] | [0.009] | [0.021] | [0.008] | [0.008] | [0.029] | [0.007] | [0.008] | [0.027] | |
| World returns | 0.011* | 0.013** | 0.002 | 0.012 | 0.015* | 0.009 | 0.010 | 0.013 | -0.004 |
| [0.006] | [0.006] | [0.005] | [0.008] | [0.008] | [0.008] | [0.010] | [0.010] | [0.009] | |
| Same | 0.115*** | 0.239*** | 0.055* | 0.234*** | 0.046** | 0.131*** | |||
| [0.026] | [0.055] | [0.029] | [0.053] | [0.021] | [0.040] | ||||
| Other | -0.038* | -0.023 | -0.039 | -0.034 | -0.000 | 0.044 | |||
| [0.019] | [0.049] | [0.027] | [0.045] | [0.021] | [0.033] | ||||
| Constant | 0.014*** | 0.036*** | 0.059*** | 0.019*** | 0.027*** | 0.064*** | 0.017*** | 0.026*** | 0.036*** |
| [0.003] | [0.006] | [0.009] | [0.003] | [0.007] | [0.009] | [0.003] | [0.005] | [0.005] | |
| Country*Week FE | No | No | Yes | No | No | Yes | No | No | Yes |
| Observations | 1,610 | 1,610 | 1,856 | 1,499 | 1,499 | 1,806 | 1,589 | 1,589 | 1,907 |
| R-squared | 0.056 | 0.098 | 0.374 | 0.071 | 0.079 | 0.374 | 0.032 | 0.054 | 0.341 |
Notes: The table presents the estimates of OLS regressions at the country-day level on the probability of announcing a financial sector policy from February 1 to April 17, 2020. The dependent variable corresponds to an indicator variable that equals 1 on days that a country announces the policy in each panel and zero otherwise. Post-announcement observations are dropped from the sample. For each country, Liquidity ratio (cash & due from banks/total assets), Oil exposure, Size (log of assets) and Capital ratio (Tier 1 + Tier 2 capital over total assets) are averaged over the period 2019Q1-2019Q4 across banks in the sample. Public bank is the country share of state-owned banks in the sample. COVID corresponds to the lagged daily percentage change of confirmed COVID-19 cases per million citizens. Domestic returns correspond to the one-day lagged accumulated domestic market returns. Bank returns measures the one-day lagged accumulated bank returns averaged for each country. World returns are the one-day lagged accumulated global market returns. Same corresponds to the regional one-day-lagged share of countries that announce the policy in each panel. Other corresponds to the regional one-day-lagged share of countries that announce other financial sector policies different from the policy in each panel. All control variables are standardized with mean 0 and standard deviation 1. All specifications include week fixed effects. Standard errors are clustered at the country level.