Table 1.

Estimates of Threshold Coefficient $\phi$, Threshold Parameter $\gamma$, and AR(1) Coefficients in Threshold-augmented AR Specifications, 1979Q2–2019Q4.

(a) Advanced economies:$\widehat{p}$ = 3.09% and, $\widehat{\gamma }$ = 0.156
		$\phi$		t-ratio		$\rho$		t-ratio		${\bar{R}}^2$		${\sigma }^2$
Australia		−0.0059†		−1.88		0.26‡		3.48		7.8%		0.0069
Austria		−0.0208‡		−5.10		−0.17†		−2.28		13.5%		0.0087
Belgium		−0.0079‡		−2.54		0.22‡		2.86		9.6%		0.0066
Canada		−0.0071‡		−2.50		0.48‡		7.10		28.1%		0.0061
Finland		−0.0203‡		−3.37		0.02		0.23		6.1%		0.0129
France		−0.0064‡		−2.99		0.31‡		4.01		17.5%		0.0045
Germany		−0.0174‡		−4.35		−0.03		−0.37		10.0%		0.0084
Italy		−0.0076‡		−2.51		0.31‡		4.16		16.8%		0.0063
Japan		−0.0083†		−1.86		0.21†		2.55		6.8%		0.0095
Korea		−0.0030		−0.40		0.02		0.22		−1.1%		0.0163
Netherlands		−0.0128‡		−3.99		0.17†		2.23		13.6%		0.0069
Norway		−0.0133‡		−2.44		−0.29‡		−4.00		10.4%		0.0120
New Zealand		−0.0029		−0.74		0.20‡		2.60		3.4%		0.0086
Singapore		−0.0107∗		−1.32		0.23‡		2.98		6.5%		0.0174
Spain		−0.0035†		−2.14		0.76‡		14.99		62.4%		0.0034
Sweden		−0.0247‡		−4.64		−0.35‡		−4.62		16.3%		0.0112
Switzerland		−0.0095‡		−2.74		0.17†		2.18		8.3%		0.0073
United Kingdom		−0.0047∗		−1.51		0.30‡		4.07		12.4%		0.0066
United States		−0.0096‡		−3.29		0.33‡		4.55		19.9%		0.0062
MG (equally weighted)		−0.0103‡		−6.60		0.17‡		2.76
MG (PPP-GDP weighted)		−0.0092‡		−6.27		0.26‡		4.47
(b) Emerging economies:$\widehat{p}$ = 4.94% and$\widehat{\gamma }$ = 0.129
		$\phi$		t-ratio		$\rho$		t-ratio		${\bar{R}}^2$		${\sigma }^2$
Argentina		−0.0061		−0.93		0.53‡		7.78		27.2%		0.0180
Brazil		−0.0082∗		−1.36		0.22‡		2.93		5.5%		0.0166
Chile		−0.0065		−0.95		0.26‡		3.25		6.0%		0.0187
China		0.0035		0.88		0.32‡		4.17		9.0%		0.0110
India		−0.0071		−1.12		−0.24‡		−3.04		4.5%		0.0171
Indonesia		−0.0093∗		−1.32		0.01		0.12		−0.1%		0.0195
Malaysia		−0.0074∗		−1.44		0.31‡		4.03		11.7%		0.0137
Mexico		−0.0156‡		−3.09		0.14∗		1.85		7.9%		0.0137
Peru		−0.0189†		−2.01		0.37‡		5.04		14.5%		0.0258
Philippines		0.0034		0.64		0.16†		2.03		1.3%		0.0143
South Africa		−0.0018		−0.71		0.54‡		8.09		29.1%		0.0068
Saudi Arabia		0.0075		1.32		0.61‡		9.94		38.2%		0.0157
Thailand		−0.0263‡		−3.60		0.01		0.13		6.6%		0.0199
Turkey		−0.0294‡		−3.27		−0.02		−0.27		5.2%		0.0247
MG (equally weighted)		−0.0087‡		−2.99		0.23‡		3.53
MG (PPP-GDP weighted)		−0.0038		−1.02		0.18		1.58

Notes: Our threshold-augmented dynamic output growth model is given by $\mathrm{\Delta }{\mathit{y}}_{\mathit{it}}=c_i+{\rho }_i\mathrm{\Delta }{\mathit{y}}_{\mathit{it}-1}+{\phi }_i{z}_{t-1}\left(\gamma \right)+e_{\mathit{it}}$, where $\mathrm{\Delta }{\mathit{y}}_{\mathit{it}}$ is the first difference of the logarithm of real GDP in country i during quarter t and $z_t=I({\mathit{grve}}_t>\gamma )$. $I\left(\mathcal{A}\right)$ is an indicator variable that takes the value of unity if event $\mathcal{A}$ occurs and zero otherwise. ${\mathit{grve}}_t$ is a measure of global volatility defined by (1), and $\gamma$ is the threshold parameter. The estimation sample is 1979Q2 to 2019Q4. Statistical significance is denoted by ${}^{\ast },{}^{†}$ and ^‡, at 10%, 5% and 1% levels, respectively.