Table B.1.

Estimates of Threshold Coefficient $\phi$, Threshold Parameter $\gamma$, and AR(1) Coefficients in Threshold-augmented AR Specifications, 1990Q1–2019Q4.

(a) Advanced economies:$\widehat{p}$ = 3.33% and${\widehat{\gamma }}_{\mathit{adv}}$  = 0.156
		$\widehat{\phi }$		t-ratio		$\widehat{\rho }$		t-ratio		${\bar{R}}^2$		${\widehat{\sigma }}^2$
Australia		−0.0064†		−2.18		0.08		0.92		3.3%		0.0058
Austria		−0.0222‡		−4.93		−0.21†		−2.39		16.1%		0.0081
Belgium		−0.0128‡		−3.72		0.05		0.58		12.2%		0.0063
Canada		−0.0101‡		−3.88		0.48$‡$		6.37		38.9%		0.0049
Finland		−0.0225‡		−3.28		0.12		1.26		11.8%		0.0125
France		−0.0086‡		−3.49		0.29$‡$		3.22		25.6%		0.0042
Germany		−0.0195‡		−4.69		0.00		0.04		18.1%		0.0073
Italy		−0.0129‡		−3.65		0.15		1.54		17.9%		0.0061
Japan		−0.0133‡		−2.56		0.13		1.35		9.1%		0.0092
Korea		−0.0110∗		−1.56		0.23†		2.50		7.3%		0.0134
Netherlands		−0.0136‡		−5.01		0.34$‡$		4.37		37.0%		0.0049
Norway		−0.0131†		−2.23		−0.29$‡$		−3.24		8.8%		0.0114
New Zealand		−0.0003		−0.08		0.33$‡$		3.69		9.2%		0.0069
Singapore		−0.0121		−1.23		0.19†		2.06		5.0%		0.0182
Spain		−0.0048‡		−2.38		0.70$‡$		11.13		59.7%		0.0036
Sweden		−0.0246‡		−4.29		−0.14		−1.51		12.3%		0.0102
Switzerland		−0.0134‡		−3.49		0.08		0.89		11.3%		0.0071
United Kingdom		−0.0084‡		−2.49		0.28$‡$		2.99		18.2%		0.0059
United States		−0.0118‡		−4.19		0.24$‡$		2.65		26.9%		0.0049
MG (equally weighted)		−0.0127‡		−9.02		0.16‡		3.01
MG (PPP-GDP weighted)		−0.0121‡		−14.75		0.21‡		6.66
(b) Emerging economies:$\widehat{p}$ = 5.83% and${\widehat{\gamma }}_{\mathit{eme}}$  = 0.129
		$\widehat{\phi }$		t-ratio		$\widehat{\rho }$		t-ratio		${\bar{R}}^2$		${\widehat{\sigma }}^2$
Argentina		−0.0089		−1.25		0.43‡		5.27		19.3%		0.0183
Brazil		−0.0091∗		−1.41		0.04		0.38		0.2%		0.0165
Chile		−0.0104†		−1.83		0.11		1.13		3.2%		0.0142
China		0.0033		0.73		0.18∗		1.94		1.7%		0.0117
India		−0.0056		−0.90		−0.22†		−2.39		3.2%		0.0156
Indonesia		−0.0060		−1.01		0.32‡		3.61		9.5%		0.0153
Malaysia		−0.0112†		−1.87		0.22†		2.38		9.0%		0.0145
Mexico		−0.0158‡		−3.01		0.16∗		1.80		10.9%		0.0129
Peru		−0.0121∗		−1.35		0.21†		2.35		4.3%		0.0231
Philippines		−0.0042		−1.16		0.20†		2.22		4.7%		0.0091
South Africa		−0.0027∗		−1.28		0.60‡		8.08		37.7%		0.0053
Saudi Arabia		−0.0027		−0.69		0.63‡		9.15		40.9%		0.0101
Thailand		−0.0325‡		−3.74		−0.07		−0.83		9.3%		0.0220
Turkey		−0.0275‡		−2.60		−0.08		−0.84		4.1%		0.0268
MG (equally weighted)		−0.0104‡		−4.04		0.19‡		2.99
MG (PPP-GDP weighted)		−0.0042		−1.15		0.12		1.63

Notes: Our threshold-augmented dynamic output growth model is given by $\mathrm{\Delta }{\mathit{gdp}}_{\mathit{it}}=c_i+{\rho }_i\mathrm{\Delta }{\mathit{gdp}}_{\mathit{it}-1}+{\phi }_i{z}_{t-1}\left(\gamma \right)+e_{\mathit{it}}$, where $\mathrm{\Delta }{\mathit{gdp}}_{\mathit{it}}$ 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 1990Q1 to 2019Q4. Statistical significance is denoted by ${}^{\ast },{}^{†}$ and ^‡, at 10%, 5% and 1% levels, respectively.