Table 1.

Statistical results of baseline estimations of the BVAR model.

Country	Modela	Stats.	GDP	M2	CPI	Unemployment	Export	Import	Total Reserve	Exchange Rate
DEU	BVAR(1)	R-sq.b	0.975	0.996	0.972	0.955	0.279	0.499	0.839	–
		Ljung-Box (Q)	1.088	0.496	0.526	0.743	1.287	1.396	0.019	–
		Prob. (Q)c	0.297	0.481	0.468	0.389	0.257	0.237	0.890	–
ESP	BVAR(1)	R-sq.	0.980	–	0.924	0.996	0.563	0.366	0.963	0.904
		Ljung-Box (Q)	0.297	–	0.266	0.563	4.944	7.632	0.881	0.487
		Prob. (Q)	0.586	–	0.606	0.453	0.026∗∗	0.006∗∗∗	0.348	0.485
IDN	BVAR(1)	R-sq.	0.998	0.989	0.994	–	0.047	0.296	0.352	0.822
		Ljung-Box (Q)	0.004	0.310	0.199	–	1.771	3.337	0.112	1.097
		Prob. (Q)	0.951	0.578	0.656	–	0.183	0.068∗	0.738	0.295
IND	BVAR(1)	R-sq.	0.993	0.933	0.982	–	−0.054	0.319	0.951	0.918
		Ljung-Box (Q)	0.246	4.391	0.012	–	1.914	0.924	0.852	0.086
		Prob. (Q)	0.620	0.036∗∗	0.913	–	0.166	0.336	0.356	0.769
MEX	BVAR(1)	R-sq.	0.983	0.989	0.995	0.103	0.716	0.327	0.968	0.057
		Ljung-Box (Q)	0.182	0.637	1.297	2.471	6.511	6.390	0.433	0.658
		Prob. (Q)	0.669	0.425	0.255	0.116	0.011∗∗	0.011∗∗	0.510	0.417
RUS	BVAR(1)	R-sq.	0.987	0.992	0.995	0.834	0.623	0.705	0.988	0.915
		Ljung-Box (Q)	0.127	3.901	0.465	1.828	2.251	0.262	0.970	0.216
		Prob. (Q)	0.721	0.048∗∗	0.495	0.176	0.134	0.609	0.325	0.642
USA	BVAR(1)	R-sq.	0.995	0.995	0.986	0.897	0.776	0.728	0.607	–
		Ljung-Box (Q)	0.000	0.041	0.833	1.095	0.110	0.861	0.392	–
		Prob. (Q)	0.996	0.839	0.362	0.295	0.740	0.354	0.531	–

Notes.

^aModels are selected by BIC criteria.

^bR-sq. (R-squared) represents the goodness-of-fit of the BVAR model on each economic indicator.

^cLjung-Box (Q) statistics and the significance test results. ∗∗∗, ∗∗, and ∗ indicate rejection at the 1%, 5%, and 10% significance level, respectively. The hypothesis that the residuals are independent is rejected when the LBQ test result is significant.