Table 9.
Model estimation with an interactive term for indirect effects.
| Brazil | Russia | India | China | South Africa | |
|---|---|---|---|---|---|
| Panel-A: Long-run coefficients | |||||
| TOR | 0.0741 (0.0271) [2.7341] |
0.0911 (0.0196) [4.5863] |
0.0694 (0.6077) [0.1142] |
0.158 (0.0864) [1.8271] |
0.1227 (0.1556) [0.7886] |
| CF | 0.1248 (0.0136) [9.1286] |
0.1525 (0.0776) [1.9642] |
0.0579 (0.0026) [22.0228] |
0.0994 (0.0756) [1.3156] |
0.1317 (0.0813) [1.6199] |
| FD | 0.1139 (0.063) [2.2209] |
0.1646 (0.0691) [2.3813] |
0.1357 (0.0202) [6.4451] |
0.1231 (0.0184) [6.682] |
0.0684 (0.0387) [1.7665] |
| FDI | 0.0433 (0.013) [3.3262] |
0.0561 (0.0185) [3.0248] |
0.0167 (0.0073) [2.2637] |
0.018 (0.0088) [2.043] |
0.0877 (0.0502) [1.7455] |
| MS | −0.1409 (0.0815) [−1.7291] |
0.1022 (0.0856) [1.1934] |
−0.0955 (0.0399) [−2.3939] |
0.0412 (0.0209) [1.9653] |
−0.0414 (0.0066) [−6.1994] |
| TRCF | 0.051 (0.0219) [2.3265] |
0.0488 (0.0176) [2.7646] |
0.1796 (0.0273) [6.5733] |
0.0677 (0.012) [−5.613] |
0.0248 (0.0039) [6.2342] |
| TRFD | 0.0938 (0.0265) [3.5319] |
0.0762 (0.0254) [−3.0003] |
0.0527 (0.0157) [−3.3608] |
0.0746 (0.0357) [2.0911] |
0.0297 (0.8911) [0.0333] |
| C | −13.6698 (1.9671) [−6.9491] |
9.0478 (0.3777) [23.9545] |
2.0235 (0.5047) [4.0093] |
−2.2622 (0.9963) [−2.2704] |
3.7674 (71.5122) [0.0526] |
| Panel-B: Short–run coefficients | |||||
| TOR | −0.0664 (0.0395) [−1.6828] |
−0.0894 (0.0296) [−3.0196] |
0.0648 (0.0124) [5.1923] |
−0.0513 (0.0076) [−6.7187] |
0.021 (0.0031) [6.7042] |
| CF | −0.0243 (0.006) [−4.0584] |
−0.0689 (0.0198) [−3.4802] |
−0.0426 (0.0139) [−3.0573] |
0.126 (0.056) [2.2485] |
−0.0086 (0.0038) [−2.2331] |
| FD | −0.0267 (0.0093) [−2.8722] |
−0.0562 (0.0175) [−3.2021] |
−0.064 (0.0303) [−2.1126] |
0.0425 (0.0193) [2.1973] |
0.0728 (0.0125) [5.7919] |
| FDI | 0.1905 (0.6997) [0.2722] |
−0.0783 (0.0157) [−4.9594] |
−0.037 (0.0081) [−4.5343] |
−0.0651 (0.0221) [−2.9455] |
−0.0453 (0.0184) [−2.462] |
| MS | 0.0003 (0.001) [0.394] |
−0.0848 (0.0494) [−1.7156] |
0.0014 (0.0311) [0.0469] |
0.046 (0.0181) [2.5305] |
−0.0175 (0.003) [−5.6623] |
| TRCF | 0.0094 (0.0009) [9.4318] |
0.0687 (0.023) [2.9808] |
−0.0197 (0.0106) [−1.8618] |
−0.0658 (0.0174) [−3.7661] |
−0.0171 (0.0239) [−0.7156] |
| TRFD | 0.0092 (0.0024) [3.7312] |
0.0135 (0.007) [1.9195] |
0.0308 (0.0091) [3.3792] |
−0.0544 (0.0167) [−3.2486] |
0.1308 (0.023) [5.6741] |
| CointEq (−1) | −0.1043 (0.0213) [−4.8901] |
−0.0894 (0.028) [−3.1929] |
−0.1598 (0.0264) [−6.0545] |
−0.1747 (0.0244) [−7.1552] |
−0.459 (0.0017) [59.6272] |
| Panel-C: Residual diagnostic test | |||||
| 0.7995 | 0.6846 | 0.5773 | 0.8423 | 0.7953 | |
| 0.4815 | 0.4471 | 0.4281 | 0.6063 | 0.5408 | |
| 0.442 | 0.7738 | 0.5316 | 0.4298 | 0.6524 | |
| 0.8431 | 0.4009 | 0.4589 | 0.4431 | 0.471 | |