Table 8a.
Impact of policy contagion on policy announcements.
| Policy Rates |
Asset Purchases |
|||||
|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | |
| Liquidity ratio | -0.001 | -0.005 | -0.001 | -0.000 | ||
| [0.003] | [0.004] | [0.001] | [0.001] | |||
| Oil exposure | 0.003 | 0.003 | 0.001 | 0.002 | ||
| [0.005] | [0.006] | [0.003] | [0.003] | |||
| Size | -0.002 | -0.000 | 0.000 | -0.001 | ||
| [0.004] | [0.006] | [0.002] | [0.002] | |||
| Public bank | 0.017*** | 0.005 | -0.001 | 0.000 | ||
| [0.005] | [0.007] | [0.001] | [0.001] | |||
| Capital ratio | -0.007 | 0.007 | -0.001 | -0.002 | ||
| [0.005] | [0.007] | [0.002] | [0.003] | |||
| COVID | 0.009 | 0.010 | 0.009 | 0.001 | 0.001 | 0.001 |
| [0.010] | [0.009] | [0.008] | [0.001] | [0.001] | [0.001] | |
| Domestic returns | 0.012 | 0.021 | 0.001 | -0.001 | -0.001 | -0.013 |
| [0.014] | [0.016] | [0.024] | [0.004] | [0.005] | [0.014] | |
| Bank returns | -0.008 | -0.011 | -0.031 | 0.000 | -0.001 | 0.020 |
| [0.009] | [0.010] | [0.029] | [0.003] | [0.003] | [0.018] | |
| World returns | 0.018 | 0.014 | 0.005 | 0.005 | 0.005 | 0.003 |
| [0.016] | [0.016] | [0.013] | [0.004] | [0.005] | [0.003] | |
| Same | 0.126*** | 0.182*** | 0.004 | 0.074*** | ||
| [0.034] | [0.045] | [0.003] | [0.024] | |||
| Other | -0.049** | 0.012 | -0.003 | -0.012 | ||
| [0.023] | [0.047] | [0.005] | [0.014] | |||
| Constant | 0.023*** | 0.041*** | 0.047*** | 0.006*** | 0.006*** | 0.003* |
| [0.004] | [0.010] | [0.007] | [0.002] | [0.002] | [0.002] | |
| Country*Week FE | No | No | Yes | No | No | Yes |
| Observations | 1318 | 1318 | 1558 | 1945 | 1945 | 2326 |
| R-squared | 0.040 | 0.090 | 0.340 | 0.012 | 0.014 | 0.319 |
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.