1 Introduction
2 Related prior work
3 Methodology and data set
3.1 Methodology
3.2 Copula estimates for bivariate distributions
3.2.1 Student t copula
3.2.2 Gaussian copula
3.2.3 Clayton copula
3.2.4 Symmetrized Joe–Clayton (SJC) copula
3.3 Data set
Country | Croatia | Czech | Estonia | Hungary | Poland | Romania | Russia | Slovenia | Ukraine | Germany | UK |
---|---|---|---|---|---|---|---|---|---|---|---|
Panel A: non-crisis period | |||||||||||
N | 1071 | 1071 | 1071 | 1071 | 1071 | 440 | 1071 | 1071 | 310 | 1071 | 1071 |
Mean | 0.0010b | 0.0015a | 0.0011a | 0.0007 | 0.0016a | 0.0017b | 0.0011c | 0.0015a | 0.0003 | 0.0009a | 0.0006a |
Std. Dev. | 0.0161 | 0.0140 | 0.0124 | 0.0169 | 0.0153 | 0.0179 | 0.021 | 0.0128 | 0.0173 | 0.0102 | 0.0081 |
Skewness | − 0.1199 | − 0.2737a | 0.2569a | − 0.2657a | − 0.4364a | 0.0697 | − 0.5351b | 0.1653b | − 2.5929a | − 0.2809a | − 0.2191a |
Kurtosis | 7.8770a | 3.0046a | 5.2270a | 3.0633a | 1.9406c | 4.5371a | 4.8927a | 6.7939a | 22.5880a | 0.9534a | 1.2514a |
ARCH(1) | 19.024a | 24.094a | 28.206a | 28.696a | 11.122a | 49.333a | 42.762a | 0.003 | 0.679 | 11.171a | 28.260a |
(L–B)2(5) | 32.441a | 150.235a | 81.441a | 111.044a | 87.710a | 51.652a | 141.535a | 23.097a | 0.528 | 53.328a | 101.881a |
(L–B)2(10) | 39.938a | 175.885a | 98.241a | 149.498a | 166.416a | 55.629a | 167.502a | 35.933a | 2.187 | 96.777a | 131.404a |
Panel B: global financial crisis period (GFC) | |||||||||||
N | 625 | 625 | 625 | 625 | 625 | 625 | 625 | 625 | 625 | 625 | 625 |
Mean | − 0.0008 | − 0.0003 | − 0.0017c | 0.0001 | − 0.0013 | − 0.0017 | − 0.0008 | − 0.0013 | − 0.0026b | − 0.0005 | − 0.0006 |
Std. Dev. | 0.0202 | 0.0281 | 0.0241 | 0.0278 | 0.0248 | 0.0317 | 0.0384 | 0.0206 | 0.0288 | 0.0229 | 0.0232 |
Skewness | − 0.1420 | − 0.072 | 0.1490 | − 0.3430a | − 0.2490a | − 1.6220a | − 0.4480a | − 0.2680a | 0.3280a | 0.1520 | 0.0220 |
Kurtosis | 3.9680a | 9.2550a | 3.4550a | 2.9840a | 3.2750a | 15.8940a | 8.7940a | 3.9950a | 11.5070a | 4.6300a | 4.8970a |
ARCH(1) | 113.985a | 1.503 | 23.158a | 10.375a | 3.732b | 0.111 | 7.839a | 103.816a | 4.862b | 6.787a | 13.045a |
(L–B)2(5) | 342.774a | 191.155a | 69.344a | 63.217a | 132.569a | 0.503 | 95.122a | 273.072a | 53.388a | 128.261a | 214.662a |
(L–B)2(10) | 632.331a | 355.008a | 146.729a | 179.918a | 228.944a | 3.243 | 196.017a | 387.614a | 80.554a | 263.412a | 362.252a |
Panel C: Eurozone crisis period | |||||||||||
N | 2164 | 2164 | 2164 | 2164 | 2164 | 2164 | 2164 | 2164 | 2164 | 2164 | 2164 |
Mean | − 0.0001 | − 0.0003 | 0.0001 | − 0.0002 | − 0.0003 | 0.0002 | − 0.0002 | − 0.0002 | − 0.0010c | 0.0001 | 0.0001 |
Std. Dev. | 0.0091 | 0.0132 | 0.0133 | 0.0206 | 0.0158 | 0.0146 | 0.0186 | 0.0115 | 0.0238 | 0.0139 | 0.0116 |
Skewness | − 0.1771a | − 0.2902a | − 0.0355 | − 3.0307a | − 0.4071a | − 0.4187a | − 0.1643a | − 0.2015a | − 0.9551a | − 0.2732a | − 0.5835a |
Kurtosis | 5.4301a | 2.3964a | 4.2967a | 98.7841a | 3.2445a | 9.7129a | 5.7229a | 1.6346a | 33.8088a | 3.9017a | 7.4402a |
ARCH(1) | 4.193b | 40.613a | 89.043a | 0.017 | 33.671a | 231.765a | 234.693a | 61.858a | 80.559a | 50.201a | 133.516a |
(L–B)2(5) | 16.424a | 195.175a | 177.271a | 0.415 | 243.892a | 301.336a | 353.577a | 105.618a | 150.688a | 399.237a | 382.091a |
(L–B)2(10) | 17.556c | 312.340a | 269.557a | 0.893 | 369.742a | 451.487a | 438.320a | 117.041a | 152.615a | 717.165a | 481.881a |
4 Empirical results
4.1 Descriptive statistics and unit root tests
4.2 Cointegration results of CEE and developed markets
4.3 VECM-GARCH of CEE and developed markets
Country | CEE market returns against German market returns and ECT1t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | Germt−1 | Germt−2 | Germt−3 | Germt−4 | ECT1t−1 | |
Panel A: VECM-GARCH(1,1) estimates for CEE and German stock returns | ||||||||||
Croatia | 7.13e−04c | − 0.028 | − 0.036 | 0.046 | 0.041 | 6.55e−05 | ||||
(3.71e−04) | (0.032) | (0.032) | (0.038) | (0.036) | (0.002) | |||||
Czech | 0.002a | 0.052 | − 0.073b | − 0.012 | 0.045 | 0.064 | 0.038 | − 0.002 | ||
(3.85e−05) | (0.035) | (0.035) | (0.034) | (0.042) | (0.042) | (0.043) | (0.002) | |||
Estonia | 7.78e−04a | 0.046 | 0.005 | 0.052c | 0.025 | 0.052c | 0.066b | − 4.48e−04 | − 0.018 | − 0.004a |
(2.82e−04) | (0.033) | (0.031) | (0.029) | (0.028) | (0.029) | (0.029) | (0.029) | (0.029) | (1.51e−04) | |
Hungary | 0.001b | 0.011 | − 0.028 | − 0.032 | − 0.023 | 0.128a | 0.018 | 0.054 | − 0.011 | − 0.017a |
(4.48e−04) | (0.033) | (0.032) | (0.033) | (0.032) | (0.048) | (0.048) | (0.048) | (0.048) | (5.71e−04) | |
Poland | 0.002a | 0.013 | 0.049 | 0.015 | − 0.036 | 0.081c | 0.019 | 0.031 | − 0.022 | − 0.002 |
(4.30e−04) | (0.034) | (0.034) | (0.034) | (0.034) | (0.048) | (0.047) | (0.048) | (0.048) | (0.005) | |
Romania | 5.49e−04 | − 0.034 | − 0.110b | 0.186a | 0.0535 | − 0.009 | ||||
(6.82e−04) | (0.055) | (0.048) | (0.071) | (0.072) | (0.011) | |||||
Russia | 0.003a | − 0.006 | − 0.027 | − 0.004 | − 0.022 | 0.146a | − 0.019 | − 0.070 | − 0.041 | 5.29e−04 |
(5.03e−04) | (0.032) | (0.032) | (0.031) | (0.031) | (0.052) | (0.052) | (0.052) | (0.053) | (0.003) | |
Slovenia | 0.001b | 0.048 | 0.035 | − 0.004 | ||||||
(4.2e−04) | (0.036) | (0.040) | (0.003) | |||||||
Ukraine | 1.56e−04 | 0.072 | 0.026 | − 0.011 | 0.007 | 0.085 | − 0.042 | 1.30e−04 | − 0.065 | − 0.012 |
(6.13e−04) | (0.056) | (0.054) | (0.053) | (0.052) | (0.061) | (0.059) | (0.063) | (0.062) | (0.008) | |
UK | 0.001b | − 0.045 | − 0.044 | 0.093 | − 0.043 | 0.011 | − 0.067 | − 0.093 | 0.021 | − 0.006 |
(4.14e−04) | (0.104) | (0.106) | (0.106) | (0.106) | (0.083) | (0.086) | (0.084) | (0.123) | 0.004) |
Country | German market returns against CEE market returns and ECT2t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | Germt−1 | Germt−2 | Germt−3 | Germt−4 | ECT2t−1 | |
Croatia | 2.96e−05 | 0.012 | − 0.023 | − 0.040 | 0.042 | − 0.005b | ||||
(1.87e−05) | (0.016) | (0.017) | (0.031) | (0.031) | (0.002) | |||||
Czech | 0.001a | 0.017 | 7.55e−04 | − 0.004 | − 0.035 | 0.026 | − 0.020 | 0.002 | ||
(2.92e−04) | (0.024) | (0.023) | (0.024) | (0.034) | (0.034) | (0.034) | (0.004) | |||
Estonia | 0.001a | − 0.014 | − 0.033 | 0.015 | − 0.022 | − 0.031 | 0.044 | − 0.023 | − 0.014 | 0.004a |
(2.89e−04) | (0.024) | (0.023) | (0.023) | (0.023) | (0.032) | (0.032) | (0.031) | (0.031) | (2.21e−04) | |
Hungary | 0.001a | − 0.004 | − 0.034c | 0.004 | − 0.006 | − 0.028 | 0.054 | − 0.025 | − 0.016 | − 3.66e−04 |
(2.88e−04) | (0.019) | (0.019) | (0.018) | (0.019) | (0.033) | (0.033) | (0.033) | (0.033) | (2.97e−04) | |
Poland | 0.001a | 0.014 | 0.024 | 0.009 | 0.019 | − 0.038 | 0.022 | − 0.046 | − 0.042 | − 0.017b |
(2.90e−04) | (0.022) | (0.022) | (0.022) | (0.022) | (0.035) | (0.035) | (0.034) | (0.034) | (0.007) | |
Romania | 0.002a | − 0.024 | − 0.0424 | − 0.031 | 0.037 | − 0.003 | ||||
(4.38e−04) | (0.027) | (0.026) | (0.049) | (0.051) | (0.008) | |||||
Russia | 0.002a | 0.023 | − 0.029c | 0.011 | − 0.005 | − 0.044 | 0.045 | − 0.031 | − 0.022 | − 0.006a |
(2.88e−04) | (0.015) | (0.015) | (0.015) | (0.015) | (0.032) | (0.032) | (0.031) | (0.031) | (0.003) | |
Slovenia | 0.001a | 0.010 | − 0.011 | − 0.003 | ||||||
(3.00e−04) | (0.024) | (0.035) | (0.004) | |||||||
Ukraine | 0.002a | − 0.024 | − 0.011 | 0.033 | − 0.006 | − 0.019 | − 0.049 | − 0.056 | − 0.009 | − 0.004 |
(5.10e−04) | (0.032) | (0.037) | (0.035) | (0.038) | (0.054) | (0.058) | (0.057) | (0.058) | (0.005) | |
UK | 0.002a | 0.003 | − 0.041 | 0.004 | 0.021 | − 0.027 | − 0.043 | − 0.047 | − 0.026 | − 0.004 |
(5.19e−04) | (0.119) | (0.123) | (0.124) | (0.123) | (0.105) | (0.109) | (0.107) | (0.105) | (0.083) |
Country | CEE market returns CEE market returns against UK market returns and ECT1t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | UKt−1 | UKt−2 | UKt−3 | UKt−4 | ECT1t−1 | |
Panel B: VECM-GARCH(1,1) estimates for CEE and UK stock returns | ||||||||||
Croatia | 7.39e−04b | − 0.034 | − 0.035 | 0.016 | 0.028 | 0.062 | 0.041 | 0.034 | − 0.025 | − 4.70e−4 |
(3.74e−04) | (0.031) | (0.031) | (0.030) | (0.029) | (0.047) | (0.046) | (0.047) | (0.046) | (0.002) | |
Czech | 0.002a | 0.028 | − 0.076b | − 0.012 | 0.005 | 0.108c | 0.091c | 0.052 | − 0.016 | − 0.002 |
(3.87e−04) | (0.036) | (0.036) | (0.035) | (0.035) | (0.055) | (0.055) | (0.055) | (0.055) | (0.003) | |
Estonia | 7.69e−04a | 0.060c | − 0.003 | 0.059b | 0.052 | 0.053 | 0.044 | 9.1e−04a | − 0.005b | |
(2.81e−04) | (0.033) | (0.031) | (0.029) | (0.038) | (0.038) | (0.037) | (2.3e−4) | (0.002) | ||
Hungary | 0.002a | 0.015 | − 0.027 | − 0.034 | − 0.029 | 0.175a | 0.007 | 0.087 | − 0.017a | |
(4.46e−04) | (0.033) | (0.033) | (0.033) | (0.033) | (0.063) | (0.062) | (0.063) | (0.006) | ||
Poland | 1.88e−04a | 0.024 | 0.033 | 0.038 | − 0.041 | 0.091 | 0.046 | − 0.025 | 9.35e−04 | 0.002 |
(4.30e−04) | (0.034) | (0.034) | (0.034) | (0.034) | (0.062) | (0.061) | (0.062) | (0.062) | (0.004) | |
Romania | 7.17e−04 | − 0.036 | − 0.103b | 0.041 | − 0.007 | − 0.005 | 0.234a | 0.036 | 0.002 | − 0.013 |
(6.99e−04) | (0.056) | (0.051) | (0.048) | (0.046) | (0.012) | (0.089) | (0.090) | (0.087) | (0.082) | |
Russia | 0.002a | − 0.029 | − 0.075b | − 0.004 | 0.275a | 0.139c | − 0.037 | − 0.002 | ||
(5.51e−4) | (0.036) | (0.036) | (0.035) | (0.078) | (0.077) | (0.078) | (0.003) | |||
Slovenia | 8.98e−04a | 0.082b | 0.034 | 3.23e−04 | ||||||
(0.0003) | (0.034) | (0.044) | (0.002) | |||||||
Ukraine | 1.21e−04 | 0.058 | 0.040 | − 6.3e−04 | 0.002 | 0.075 | − 0.051 | 0.011 | − 0.047 | − 0.009 |
(6.09e−04) | (0.056) | (0.055) | (0.053) | (0.053) | (0.073) | (0.071) | (0.075) | (0.073) | (0.007) |
Country | UK market returns against CEE market returns and ECT2t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | UKt−1 | UKt−2 | UKt−3 | UKt−4 | ECT2t−1 | |
Croatia | 9.39e−04a | − 0.009 | − 0.026c | 0.032b | 0.005 | − 0.033 | 0.018 | − 0.011 | − 0.047 | − 5.8e−4a |
(2.28e−04) | (0.013) | (0.014) | (0.014) | (0.013) | (0.032) | (0.032) | (0.032) | (0.031) | (2.2e−4) | |
Czech | 8.60e−04a | 0.038b | 0.019 | − 0.004 | 0.022 | − 0.074b | − 0.016 | − 0.022 | − 0.051 | − 0.002 |
(2.34e−04) | (0.019) | (0.019) | (0.019) | (0.019) | (0.035) | (0.035) | (0.035) | (0.035) | (0.005) | |
Estonia | 9.10e−04a | 0.011 | − 0.033c | 0.005 | − 0.061c | 0.022 | − 0.015 | 0.003 | ||
(2.30e−04) | (0.020) | (0.020) | (0.019) | (0.033) | (0.032) | (0.032) | (0.003) | |||
Hungary | 9.35e−04a | − 0.005 | − 0.016 | − 0.006 | − 0.012 | − 0.042 | 0.020 | − 0.009 | − 0.028 | − 0.003 |
(2.29e−04) | (0.015) | (0.015) | (0.015) | (0.015) | (0.033) | (0.033) | (0.034) | (0.033) | (0.003) | |
Poland | 9.29e−04a | 0.0249 | 0.0036 | 0.004 | 0.009 | − 0.068c | − 0.003 | − 0.027 | − 0.043 | − 0.014a |
(2.30e−04) | (0.018) | (0.017) | (0.017) | (0.018) | (0.035) | (0.035) | (0.035) | (0.035) | (0.005) | |
Romania | 0.001a | − 0.015 | − 0.028 | − 0.050b | − 0.013 | − 0.074 | 0.004 | 0.037 | − 0.010 | − 0.016 |
(3.72e−04) | (0.023) | (0.023) | (0.021) | (0.022) | (0.054) | (0.053) | (0.050) | (0.048) | (0.010) | |
Russia | 9.49e−04a | 0.020c | − 0.011 | 0.003 | − 0.050 | 0.018 | − 0.026 | − 0.005c | ||
(2.32e−4) | (0.012) | (0.012) | (0.012) | (0.034) | (0.033) | (0.033) | (0.003) | |||
Slovenia | 6.77e−04a | 0.006 | − 0.038 | − 0.009b | ||||||
(2.25e−04) | (0.023) | (0.034) | (0.004) | |||||||
Ukraine | 0.001b | 6.4e−04 | 0.016 | 0.027 | − 0.018 | − 0.044 | − 0.124b | 0.004 | − 0.046 | − 0.007 |
(4.34e−04) | (0.024) | (0.031) | (0.027) | (0.031) | (0.060) | (0.060) | (0.059) | (0.057) | (0.008) |
Country | CEE market returns against German market returns and ECT1t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | Germt−1 | Germt−2 | Germt−3 | Germt−4 | ECT1,t−1 | |
Panel A: VECM-GARCH(1,1) estimates for CEE and German stock returns | ||||||||||
Croatia | 3.86e−05 | 0.034 | 0.081b | − 0.035a | ||||||
(0.001) | (0.047) | (0.037) | (0.010) | |||||||
Czech | 7.60e−04 | − 0.055 | 0.065 | − 0.018b | ||||||
(0.001) | (0.051) | (0.055) | (0.007) | |||||||
Estonia | − 0.001 | − 0.037 | 0.026 | 0.024 | 0.207a | 0.028 | 0.013 | − 0.007 | ||
(0.0007) | (0.044) | (0.044) | (0.062) | (0.041) | (0.044) | (0.043) | (0.005) | |||
Hungary | 7.38e−04 | − 0.050 | − 0.062 | − 0.099b | 0.106c | 0.035 | 0.026 | − 0.007 | ||
(0.001) | (0.051) | (0.050) | (0.050) | (0.062) | (0.061) | (0.061) | (0.008) | |||
Poland | 2.76e−05 | 0.109c | − 0.055 | 0.011 | − 0.054 | 0.062 | − 0.043 | 0.017c | ||
(0.001) | (0.058) | (0.058) | (0.057) | (0.063) | (0.065) | (0.062) | (0.009) | |||
Romania | − 3.52e−04 | − 0.027 | − 0.049 | − 0.017 | − 0.027 | 0.193a | 0.055 | − 0.001 | 0.074 | − 0.014b |
(0.001) | (0.047) | (0.048) | (0.046) | (0.046) | (0.063) | (0.062) | (0.062) | (0.060) | (0.008) | |
Russia | 0.001 | − 0.014 | 0.046 | − 0.015b | ||||||
(0.001) | (0.054) | (0.079) | (0.007) | |||||||
Slovenia | − 4.70e−04 | 0.119a | 0.100a | 0.001 | ||||||
(0.001) | (0.043) | (0.035) | (0.005) | |||||||
Ukraine | − 4.27e−04 | 0.001 | 0.068 | 0.086b | 0.135a | − 0.013 | − 0.027 | − 0.002 | ||
(0.001) | (0.043) | (0.042) | (0.040) | (0.036) | (0.038) | (0.038) | (0.003) | |||
UK | 7.00e−05 | − 0.054 | 0.002 | − 0.0007 | 0.042 | 0.002 | ||||
(0.001) | (0.08) | (0.081) | (0.083) | (0.082) | (0.003) |
Country | German market returns against CEE market returns and ECT2t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | Germt−1 | Germt−2 | Germt−3 | Germt−4 | ECT2t−1 | |
Croatia | − 0.011 | 0.048 | − 0.082c | − 0.011 | ||||||
(0.013) | (0.048) | (0.046) | (0.013) | |||||||
Czech | 1.67e−04 | − 0.035 | − 0.044 | 0.005 | ||||||
(0.001) | (0.043) | (0.050) | (0.006) | |||||||
Estonia | 3.64e−04 | − 0.036 | − 0.062c | − 0.008 | − 0.023 | 0.078c | − 0.030 | − 0.022a | ||
(0.001) | (0.035) | (0.035) | (0.035) | (0.042) | (0.044) | (0.044) | (0.007) | |||
Hungary | 3.92e−04 | − 0.0474 | − 0.038 | − 0.023 | − 0.024 | 0.096c | − 0.045 | − 0.0009 | ||
(0.001) | (0.038) | (0.037) | (0.038) | (0.050) | (0.049) | (0.049) | (0.004) | |||
Poland | 1.85e−04 | 0.032 | − 0.066 | − 0.058 | − 0.068 | 0.103c | − 0.015 | − 0.060a | ||
(0.001) | (0.045) | (0.046) | (0.045) | (0.055) | (0.055) | (0.054) | (0.014) | |||
Romania | 6.42e−04 | 0.025 | − 0.016 | 0.014 | − 0.019 | − 0.053 | 0.060 | − 0.056 | 0.0618 | − 0.029b |
(0.001) | (0.029) | (0.032) | (0.030) | (0.031) | (0.047) | (0.048) | (0.048) | (0.047) | (0.014) | |
Russia | 0.002 | 3.66e−5 | − 0.070 | 0.002 | ||||||
(0.009) | (0.032) | (0.053) | (0.009) | |||||||
Slovenia | 7.71e−04 | 0.040 | − 0.068 | − 0.023b | ||||||
(0.001) | (0.041) | (0.044) | (0.010) | |||||||
Ukraine | 8.06e−05 | − 0.008 | − 0.004 | 0.020 | − 0.041 | 0.070c | − 0.052 | − 0.023b | ||
(0.001) | (0.029) | (0.028) | (0.028) | (0.040) | (0.042) | (0.041) | (0.010) | |||
UK | 0.001 | − 0.005 | 0.007 | − 0.019 | 0.073 | − 0.007 | ||||
(0.001) | (0.078) | (0.077) | (0.083) | (0.082) | (0.008) |
Country | CEE market returns against UK market returns and ECT1t−1 | |||||
---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | UKt−1 | UKt−2 | ECT1,t−1 | |
Panel B: VECM-GARCH(1,1) estimates for CEE and UK stock returns | ||||||
Croatia | 3.40e−05 | 0.057 | 0.084b | − 0.033a | ||
(0.0005) | (0.045) | (0.036) | (0.009) | |||
Czech | 9.08e−05 | − 0.047 | 0.057 | − 0.015b | ||
(6.70e−5) | (0.048) | (0.050) | (0.006) | |||
Estonia | − 0.001 | 0.007 | 0.151a | − 0.020b | ||
(0.0008) | (0.045) | (0.046) | (0.008) | |||
Hungary | 7.18e−04 | 0.005 | 0.092 | − 0.011 | ||
(0.0009) | (0.050) | (0.059) | (0.009) | |||
Poland | − 4.40e−05 | 0.125b | − 0.051 | − 0.061 | 0.073 | 0.007 |
(7.51e−05) | (0.055) | (0.055) | (0.058) | (0.059) | (0.012) | |
Romania | − 6.14e−05 | 7.0e−05 | − 0.027 | 0.134b | − 0.008 | − 0.019b |
(9.79e−05) | (0.046) | (0.045) | (0.060) | (0.062) | (0.008) | |
Russia | 9.50e−05 | 0.074 | − 0.075 | − 0.073 | 0.069 | − 0.016a |
(9.10e−05) | (0.056) | (0.054) | (0.073) | (0.074) | (0.006) | |
Slovenia | − 6.51e−05 | 0.116a | − 0.127a | 0.117a | 0.091a | 7.76e−5 |
(5.18e−05) | (0.045) | (0.043) | (0.034) | (0.034) | (0.006) | |
Ukraine | − 0.002b | − 0.011 | 0.137a | 0.002 | ||
(0.0007) | (0.048) | (0.040) | (0.003) |
Country | UK market returns against CEE market returns and ECT2t−1 | |||||
---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | UKt−1 | UKt−2 | ECT2,t−1 | |
Croatia | 2.80e − 05 | 0.069 | − 0.122a | − 2.19e−04 | ||
(7.00e−05) | (0.055) | (0.046) | (0.014) | |||
Czech | 2.87e−05 | − 0.068 | − 0.039 | − 0.015b | ||
(6.62e−05) | (0.043) | (0.049) | (0.006) | |||
Estonia | 3.07e−04 | − 0.039 | − 0.065 | − 0.016 | ||
(0.0007) | (0.035) | (0.045) | (0.011) | |||
Hungary | − 5.07e−04 | 0.010 | − 0.100b | − 0.008c | ||
(0.0007) | (0.037) | (0.051) | (0.005) | |||
Poland | 7.00e−05 | 0.034 | − 0.038 | 0.093a | 0.056 | − 0.066a |
(6.52e−05) | (0.046) | (0.046) | (0.054) | (0.054) | (0.018) | |
Romania | 3.11e−05 | 0.031 | − 0.034 | − 0.097b | 0.022 | − 0.008 |
(7.08e−05) | (0.030) | (0.030) | (0.047) | (0.047) | (0.014) | |
Russia | 4.61e−05 | − 0.006 | − 0.029 | − 0.078 | 0.023 | − 6.9e−05 |
(6.45e−05) | (0.034) | (0.033) | (0.053) | (0.053) | (0.008) | |
Slovenia | 4.01e−05 | 0.096b | − 0.077c | − 0.108b | 0.020 | − 0.012 |
(6.9e−05) | (0.047) | (0.046) | (0.045) | (0.045) | (0.011) | |
Ukraine | 6.20e−04 | − 0.018 | − 0.072 | − 0.021b | ||
(0.0007) | (0.034) | (0.044) | (0.009) |
Country | CEE market returns against German market returns and ECT1t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | Germt−1 | Germt−2 | Germt−3 | Germt−4 | ECT1t−1 | |
Panel A: VECM-GARCH(1,1) estimates for CEE and German stock returns | ||||||||||
Croatia | − 5.96e−5 (2.0e−4) | 0.049b (0.023) | − 0.009 (0.022) | − 8.0e−4 (0.013) | 0.001 (0.013) | − 0.001 (0.001) | ||||
Czech | 0.0003 (0.0002) | 0.020 (0.024) | − 0.035 (0.024) | 8.0e−04 (0.023) | 0.017 (0.023) | − 0.001 (9.0e−4) | ||||
Estonia | 5.03e−5 (2.0e−4) | − 0.082a (0.023) | − 0.010 (0.022) | 0.050b (0.020) | − 0.011 (0.019) | − 0.002 (0.002) | ||||
Hungary | − 0.004b | 0.017 | − 0.023 | − 0.004b | ||||||
(0.002) | (0.028) | (0.036) | (0.002) | |||||||
Poland | 3.0e−4 (3.0e−4) | 0.049c (0.026) | − 0.024 (0.029) | − 9.0e−4 (8.0e−4) | ||||||
Romania | 5.0e−4b (2.0e−4) | 0.016 (0.024) | 0.020 (0.023) | 0.012 (0.023) | − 0.038c (0.023) | 0.004 (0.023) | − 0.019 (0.022) | 0.018 (0.023) | 0.032 (0.022) | − 0.004b (0.002) |
Russia | 4.0e−4 (3.0e−4) | 0.053b (0.024) | − 0.008 (0.023) | − 0.034 (0.023) | − 0.016 (0.028) | 0.009 (0.028) | 6.0e−4 (0.028) | − 0.002b (0.001) | ||
Slovenia | 1.0e−4 (2.0e−4) | − 0.036 (0.023) | − 0.011 (0.022) | 0.062a (0.018) | − 0.003 (0.017) | − 0.001 (0.001) | ||||
Ukraine | − 3.0e−4 (3.0e−4) | 0.033 (0.022) | 0.054b (0.025) | − 5.0e−4 (5.0e−4) | ||||||
UK | 4.0e−4a (2.0e−4) | 0.002 (0.035) | 0.060c (0.034) | − 0.030 (0.034) | − 0.024 (0.028) | 0.010 (0.027) | − 0.033 (0.027) | − 1.0e−4 (2.0e−4) |
Country | German market returns against CEE market returns and ECT2t−1 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | CEEt−4 | Germt−1 | Germt−2 | Germt−3 | Germt−4 | ECT2t−1 | |
Croatia | 8.0e−4a (2.0e−4) | − 5.0e−4 (0.026) | 0.043 (0.026) | − 0.010 (0.022) | − 0.025 (0.022) | − 0.004b (0.002) | ||||
Czech | 8.0e−4a (2.0e−4) | 0.029 (0.022) | − 0.002 (0.023) | − 0.027 (0.024) | − 0.017 (0.024) | − 0.006a (0.002) | ||||
Estonia | 9.01e−6a (3.14e−6) | − 0.019 (0.019) | − 0.025 (0.019) | − 0.025 (0.022) | − 0.021 (0.022) | − 0.005b (0.002) | ||||
Hungary | 6.28e−4 | − 0.005 | − 0.019 | − 0.004b | ||||||
(2.64e−4) | (0.013) | (0.025) | (0.002) | |||||||
Poland | 6.0e−4a (2.0e−4) | 0.015 (0.020) | − 0.024 (0.025) | − 0.002 (0.001) | ||||||
Romania | 6.0e−4a (2.2e−4) | 0.005 (0.021) | − 2.0e−4 (0.020) | − 0.030 (0.020) | 0.008 (0.020) | − 0.023 (0.023) | − 0.022 (0.023) | 0.008 (0.023) | − 0.057b (0.023) | − 0.003 (0.003) |
Russia | 7.0e−4a (2.0e−4) | 0.010 (0.015) | − 0.006 (0.015) | 8.0e−4 (0.014) | − 0.031 (0.023) | − 0.017 (0.023) | − 0.007 (0.023) | − 0.004b (0.002) | ||
Slovenia | 1.0e−4 (2.0e−4) | − 0.036 (0.023) | − 0.011 (0.022) | 0.062a (0.018) | − 0.003 (0.018) | − 0.002 (0.001) | ||||
Ukraine | − 3.0e−4 (3.0e−4) | 0.033 (0.022) | 0.054b (0.025) | − 5.0e−4 (5.0e−4) | ||||||
UK | 4.0e−4b (2.0e−4) | 0.003 (0.035) | 0.060c (0.034) | − 0.030 (0.034) | − 0.024 (0.028) | 0.010 (0.027) | − 0.033 (0.027) | − 1.0e−4 (2.0e−4) |
Country | CEE market returns against UK market returns and ECT1t−1 | |||||||
---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | UKt−1 | UKt−2 | UKt−3 | ECT1t−1 | |
Panel B: VECM-GARCH(1,1) estimates for CEE and UK stock returns | ||||||||
Croatia | − 3.91e−06a (1.67e−04) | 0.047a (0.022) | 0.002a (0.160) | − 9.70e−04a (8.38e−04) | ||||
Czech | 2.0e−04 (2.35e−04) | − 0.003 (0.023) | − 0.003a (0.027) | − 0.001 (0.001) | ||||
Estonia | 8.0e−04 (2.14e−04) | − 0.078a (0.023) | − 0.017 (0.022) | 0.067a (0.023) | − 4.0e−04 (0.022) | − 0.002 (1.030) | ||
Hungary | 4.0e−04 | 0.012 | − 0.007 | − 0.005b | ||||
(4.0e−04) | (0.027) | (0.041) | (0.002) | |||||
Poland | 3.0e−04 (2.75e−04) | 0.019 (0.025) | 0.028 (0.034) | − 1.0e−04 (9.16e−04) | ||||
Romania | 5.74e−04b (2.34e−04) | − 5.0e−04 (0.023) | 0.007 (0.023) | 0.008 (0.023) | 0.037 (0.027) | − 0.001 (0.026) | 0.036 (0.026) | − 2.0e−04 (0.001) |
Russia | 6.0e−04c (3.27e−04) | 0.016 (0.025) | − 0.016 (0.026) | − 0.029 (0.025) | 0.096a (0.038) | 0.011 (0.037) | 0.015 (0.038) | − 0.002b (0.001) |
Slovenia | 1.33e−04 | − 0.035 | − 0.012 | 0.069a | 0.006 | − 0.003a | ||
(2.15e−4) | (0.023) | (0.022) | (0.021) | (0.021) | (0.001) | |||
Ukraine | − 2.0e−04 (2.099e−04) | 0.028 (0.022) | 0.097a (0.030) | − 3.90e−04 (3.77e−4) |
Country | UK market returns against CEE market returns and ECT2t−1 | |||||||
---|---|---|---|---|---|---|---|---|
Constant | CEEt−1 | CEEt−2 | CEEt−3 | UKt−1 | UKt−2 | UKt−3 | ECT2t−1 | |
Croatia | 5.0e−04a (1.83e−04) | − 0.019a (0.021) | − 0.004 (0.022) | − 0.005b (0.002) | ||||
Czech | 5.0e−04a (1.85e−04) | 0.007 (0.018) | − 0.010 (0.024) | − 0.006a (0.002) | ||||
Estonia | 5.0e−04a (1.78e−04) | − 0.031b (0.015) | − 0.013 (0.015) | − 0.012 (0.022) | − 0.010 (0.022) | − 0.006a (0.002) | ||
Hungary | 5.0e−04b | 8.09e−04 | − 0.012 | − 0.005b | ||||
(2.0e−04) | (0.010) | (0.024) | (0.002) | |||||
Poland | 4.65e−04b (1.84e−04) | 9.0e−04 (0.016) | − 0.009 (− 0.03) | − 0.004b (0.002) | ||||
Romania | 5.0e−04a (1.80e−04) | − 0.016 (0.017) | 0.014 (0.017) | − 0.024 (0.016) | − 0.007 (0.017) | − 0.025 (0.016) | 0.029 (0.016) | − 0.004b (0.002) |
Russia | 5.0e−04a (1.93e−04) | − 5.0e−04 (0.013) | − 0.007 (0.013) | − 0.002 (0.013) | − 0.012 (0.026) | − 0.018 (0.025) | 0.011 (0.025) | − 0.004c (0.002) |
Slovenia | 6.37e−04a | − 0.005 | − 0.004 | − 0.012 | − 0.008 | − 0.008a | ||
(1.90e−04) | (0.017) | (0.017) | (0.022) | (0.022) | (0.002) | |||
Ukraine | 5.0e−04a (1.81e−4) | 0.008 (0.008) | − 0.020 (0.022) | − 0.005a (0.002) |
4.3.1 Non-crisis period and CEE and developed markets
4.3.2 Global financial crisis and CEE and developed markets
4.3.3 Eurozone crisis period and CEE and developed markets
4.4 Variance equations
4.4.1 Coefficient of variance equations for CEE and developed markets
4.4.2 Comparison across VAR specifications and correlated conditional variances
5 Testing the dependence structure using copulas
Country | T-V student t copula | T-V Gaussian copula | |||||
---|---|---|---|---|---|---|---|
v | α | β | AIC | α | β | AIC | |
Panel A: Copula estimates for CEE and German returns during the non-crisis period under the VECM-GARCH(1,1) | |||||||
Croatia | 10.759b | 0.013 | 0.891a | − 77.22 | 0.016 | 0.875a | − 72.51 |
(4.619) | (0.012) | (0.076) | (0.014) | (0.150) | |||
Czech | 8.290a | 0.009 | 0.947a | − 281.42 | 0.008 | 0.985a | − 272.00 |
(2.764) | (0.010) | (0.094) | (0.007) | (0.026) | |||
Estonia | 5.759a | 0.063b | 0.369c | − 156.32 | 0.048c | 0.507a | − 132.54 |
(1.290) | (0.030) | (0.211) | (0.026) | (0.179) | |||
Hungary | 7.837a | 0.019c | 0.954a | − 210.68 | 0.018b | 0.960a | − 199.26 |
(2.502) | (0.010) | (0.020) | (0.009) | (0.019) | |||
Poland | 7.837a | 0.019 | 0.954a | − 295.54 | 0.044c | 0.324 | − 278.19 |
(1.609) | (0.023) | (0.226) | (0.023) | (0.214) | |||
Romania | 11.958 | 0.018a | 0.982a | − 4102.21 | 0.160a | 0.838a | − 3266.01 |
(23.323) | (10e−05) | (10e−05) | (0.035) | (0.035) | |||
Russia | 6.185a | 0.029b | 0.901a | − 160.20 | 0.028a | 0.918a | − 141.53 |
(1.395) | (0.012) | (0.039) | (0.010) | (0.027) | |||
Slovenia | 7.732a | 10e−06 | 0.528 | − 67.03 | 10e−06 | 0.732 | − 55.75 |
(2.597) | (10e−06) | (0.697) | (10e−06) | (0.477) | |||
Ukraine | 11.952 | 0.018a | 0.982a | − 5208.55 | 0.118a | 0.875a | − 3298.00 |
(9.585) | (0.0001) | (0.0001) | (0.029) | (0.029) | |||
UK | 11.948 | 0.018a | 0.982a | − 7280.78 | 0.133a | 0.864a | − 5703.73 |
(11.978) | (0.0001) | (0.0001) | (0.042) | (0.042) |
Country | T-V Clayton copula | T-V SJC copula | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ω | α | β | AIC | ωU | αU | βU | ωL | αL | βL | AIC | |
Croatia | − 1.75a | − 1.197 | − 0.307 | − 57.17 | 0.456 | − 2.779 | 0.894a | − 2.296c | 3.405 | 0.210 | − 86.71 |
(0.490) | (0.888) | (0.250) | (0.626) | (3.220) | (0.067) | (1.318) | (3.285) | (0.264) | |||
Czech | − 0.714a | − 0.642 | − 0.220 | − 218.19 | 0.183a | − 1.138a | 0.875a | 0.157b | − 0.853b | 0.886a | − 292.29 |
(0.266) | (0.426) | (0.318 | (0.054) | (0.369) | (0.072) | (0.079) | (0.383) | (0.065) | |||
Estonia | 0.043 | − 0.616a | 0.898a | − 105.40 | 1.292a | − 10.000a | 0.108 | 0.120 | − 6.982 | − 0.496 | − 158.47 |
(0.057) | (0.226) | (0.044) | (0.276) | (0.004) | (0.242) | (1.564) | (6.736) | (0.672) | |||
Hungary | 0.085a | − 0.482b | 0.964a | − 171.61 | − 0.005 | − 0.228 | 0.936a | 0.823 | − 4.731 | 0.609 | − 224.77 |
(0.031) | (0.190) | (0.020) | (0.027) | (0.170) | (0.046) | (1.113) | (6.626) | (0.552) | |||
Poland | 0.040b | − 0.223a | 0.980a | − 224.99 | 1.560a | − 10.000a | − 0.009 | − 0.302 | − 1.279 | − 0.768a | − 296.96 |
(0.016) | (0.066) | (0.009) | (0.224) | (0.158) | (0.365) | (1.052) | (4.231) | (0.097) | |||
Romania | 0.297a | − 2.955a | 0.938a | − 1636.07 | 7.823 | 1.053 | 4.134 | 9.998 | 1.547 | − 9.474 | − 1908.91 |
(0.078) | (0.786) | (0.017) | (–) | (–) | (–) | (–) | (–) | (–) | |||
Russia | 0.069 | − 0.588a | 0.930a | − 112.05 | 0.263b | − 1.604b | 0.890a | 0.379 | − 3.249 | 0.622c | − 176.38 |
(0.046) | (0.183) | (0.025) | (0.126) | (0.698) | (0.046) | (0.504) | (3.396) | (0.350) | |||
Slovenia | − 2.983a | 1.531 | − 0.410c | − 41.61 | 0.806c | − 10.000a | 0.127 | − 6.706a | 10.000a | − 0.682a | − 65.65 |
(0.774) | (0.931) | (0.243) | (0.479) | (0.00001) | (0.234) | (1.018) | (0.024) | (0.139) | |||
Ukraine | 0.587a | − 7.610a | 0.878a | − 2035.76 | 6.452 | 1.027 | 6.345 | 9.998 | 1.663 | − 9.500 | − 2046.70 |
(0.153) | (2.045) | (0.036) | (18.435) | (3.262) | (18.498) | (11.367) | (4.713) | (10.738) | |||
UK | 0.236 | 2.063c | 0.700a | − 411.98 | 4.912 | 0.721 | 7.085 | 10.000b | 1.207 | − 9.501b | − 2409.21 |
(0.311) | (1.083) | (0.222) | (5.042) | (1.120) | (5.058) | (4.546) | (1.514) | (4.254) |
Country | T-V Student t copula | T-V Gaussian copula | |||||
---|---|---|---|---|---|---|---|
v | α | β | AIC | α | β | AIC | |
Panel B: Copula estimates for CEE and German returns during the GFC period under the VECM-GARCH(1,1) | |||||||
Croatia | 4.162a | 0.023 | 0.002 | − 330.52 | 0.012 | 0.627a | − 296.22 |
(0.687) | (0.028) | (0.068) | (0.022) | (0.141) | |||
Czech | 3.729a | 0.004 | 0.994a | − 436.33 | 0.001 | 0.999a | − 385.14 |
(0.583) | (0.005) | (0.003) | (0.006) | (0.0001) | |||
Estonia | 3.622a | 0.020c | 0.954a | − 182.76 | 0.030 | 0.694a | − 154.21 |
(1.039) | (0.012) | (0.061) | (0.024) | (0.098) | |||
Hungary | 3.229a | 0.009a | 0.991a | − 387.79 | 0.006 | 0.994a | − 329.42 |
(0.483) | (0.002) | (0.0001) | (0.007) | (0.0001) | |||
Poland | 3.951a | 0.020 | 0.0001 | − 524.42 | 0.0152 | 0.0006 | − 479.74 |
(0.625) | (0.024) | (0.080) | (0.015) | (0.487) | |||
Romania | 4.869a | 0.001 | 0.936a | − 351.92 | 0.0001 | 0.372 | − 331.61 |
(1.251) | (0.007) | (0.112) | (0.0001) | (0.984) | |||
Russia | 2.870a | 0.013a | 0.987a | − 492.97 | 0.016a | 0.984a | − 414.93 |
(0.331) | (0.003) | (0.004) | (0.004) | (0.0001) | |||
Slovenia | 4.740a | 0.0001 | 0.391 | − 214.05 | 0.000 | 0.479 | − 189.51 |
(0.983) | (0.0001) | (1.211) | (0.0001) | (2.096) | |||
Ukraine | 3.167a | 0.014b | 0.982a | − 106.99 | 0.024a | 0.976a | − 64.03 |
(0.511) | (0.006) | (0.008) | (0.006) | 0.0001 | |||
UK | 2.000a | 0.013a | 0.983a | − 1081.92 | 0.001 | 0.931a | − 986.66 |
(0.282) | (0.004) | (0.005) | (0.012) | (0.103) |
Country | T-V Clayton copula | T-V SJC copula | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ω | α | β | AIC | ωU | αU | βU | ωL | αL | βL | AIC | |
Croatia | − 0.050 | − 0.551c | − 0.680a | − 258.43 | − 0.124 | 0.812 | 0.886a | 1.765a | − 4.819b | − 1.002a | − 340.28 |
(0.197) | (0.332) | (0.239) | (0.112) | (0.589) | (0.057) | (0.299) | (2.150) | (0.003) | |||
Czech | 0.412b | 0.2097 | − 0.856a | − 361.77 | 2.019 | − 5.077 | − 1.001a | 1.190 | 5.946 | − 0.977a | − 444.35 |
(0.185) | (0.216) | (0.079) | (1.302) | (6.133) | (0.009) | (1.004) | (4.962) | (0.041) | |||
Estonia | 0.019 | − 0.546 | 0.858a | − 111.41 | 1.306 | − 5.930 | 0.082 | − 0.057a | 0.248a | 1.007a | − 198.36 |
(0.068) | (0.405) | (0.119) | (4.928) | (27.926) | (3.296) | (0.002) | (0.001) | (0.004) | |||
Hungary | − 0.179 | 0.703 | 0.035 | − 273.42 | 0.105 | − 0.476 | 0.976a | 0.123a | − 0.618b | 0.982a | − 386.41 |
(0.145) | (0.460) | (0.439) | (0.068) | (0.332) | (0.008) | (0.048) | (0.242) | (0.005) | |||
Poland | 0.611a | 0.187 | − 0.781a | − 405.69 | 4.783a | − 9.987a | − 0.823 | 3.062a | − 0.200a | − 2.062a | − 429.47 |
(0.161) | (0.378) | (0.081) | (0.975) | (0.034) | (0.512) | (0.0001) | (0.051) | (0.0001) | |||
Romania | − 0.206 | 0.663 | 0.437a | − 246.10 | 0.177 | − 0.621 | 0.927 | 0.383 | 0.323 | − 0.981a | − 360.03 |
(0.126) | (0.547) | (0.152) | (3.656) | (12.071) | (1.697) | (3.019) | (14.250) | (0.020) | |||
Russia | 0.533c | − 0.969c | − 0.182 | − 370.29 | 2.125a | − 0.222 | − 1.005a | − 0.278 | − 0.377 | − 1.027a | − 342.16 |
(0.294) | (0.564) | (0.942) | (0.208) | (6.035) | (0.002) | (2.876) | (30.001) | (0.024) | |||
Slovenia | − 0.771a | 0.676 | − 0.183 | − 162.60 | 0.110 | − 0.781 | 0.582 | − 0.527 | 1.546 | − 0.025 | − 214.66 |
(0.218) | (0.426) | (0.277) | (0.545) | (2.834) | (0.519) | (0.927) | (3.874) | (0.160) | |||
Ukraine | 0.029 | − 0.201 | 0.983a | − 59.28 | 0.0328 | − 0.443 | 1.032a | − 1.031 | − 0.287 | 0.153c | − 101.29 |
0.061 | 0.326 | 0.022 | (0.126) | (0.948) | (0.008) | (2.311) | (7.749) | (0.119) | |||
UK | 0.175a | − 1.012a | 0.954a | − 832.783 | 9.100a | 0.999a | 0.520a | 8.481a | 1.034a | − 9.429a | − 941.90 |
(0.037) | (0.236) | (0.012) | (0.012) | (0.006) | (0.005) | (0.052) | (0.008) | (0.061) |
Country | T-V Student t copula | T-V Gaussian copula | |||||
---|---|---|---|---|---|---|---|
v | α | β | AIC | α | β | AIC | |
Panel C: Copula estimates for CEE and German returns during the Eurozone crisis period under the VECM-GARCH(1,1) | |||||||
Croatia | 6.684a | 0.012 | 0.980a | − 495.79 | 0.032b | 0.922a | − 451.66 |
(1.212) | (0.009) | 0.019 | (0.014) | (0.044) | |||
Czech | 6.079a | 0.003a | 0.991a | − 831.13 | 0.004a | 0.990a | − 778.77 |
(0.852) | (0.001) | (0.002) | (0.001) | (0.002) | |||
Estonia | 5.887a | 0.002b | 0.995a | − 498.90 | 0.002b | 0.100a | − 437.74 |
(0.798) | (0.001) | (0.002) | (0.001) | (0.002) | |||
Hungary | 6.024a | 0.003a | 0.992a | − 637.73 | 0.003a | 0.991a | − 585.47 |
(0.899) | (0.001) | (0.003) | (0.001) | (0.004) | |||
Poland | 6.592a | 0.003a | 0.993a | − 1238.52 | 0.004a | 0.991a | − 1189.00 |
(0.933) | (0.001) | (0.003) | (0.001) | (0.004) | |||
Romania | 5.723a | 0.002b | 0.995a | − 783.26 | 0.001 | 0.995a | − 713.39 |
(0.766) | (0.001) | (0.001) | (0.001) | (0.002) | |||
Russia | 6.884a | 0.004a | 0.992a | − 850.94 | 0.005a | 0.992a | − 806.23 |
(1.159) | (0.001) | (0.003) | (0.001) | (0.003) | |||
Slovenia | 6.276a | 0.007a | 0.990a | − 355.71 | 0.007a | 0.986a | − 306.83 |
(1.119) | (0.002) | (0.002) | (0.001) | (0.003) | |||
Ukraine | 9.352b | 0.008b | 0.990a | − 239.98 | 0.008b | 0.981a | − 219.92 |
(2.245) | (0.004) | (0.009) | (0.003) | (0.008) | |||
UK | 6.907a | 0.004 | 0.948 | − 2647.97 | 0.012 | 0.789a | − 2587.85 |
(1.834) | (0.059) | (1.177) | (0.012) | (0.240) |
Country | T-V Clayton copula | T-V SJC copula | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ω | α | β | AIC | ωU | αU | βU | ωL | αL | βL | AIC | |
Croatia | 0.122a | − 1.238a | 0.801a | − 396.82 | 1.024b | − 9.999a | − 0.290 | 1.609a | − 10.000a | − 0.2736 | − 488.96 |
(0.047) | (0.471) | (0.097) | (0.428) | (0.028) | (0.564) | (0.220) | (0.0001) | (0.240) | |||
Czech | 0.014c | − 0.089b | 0.988a | − 664.21 | 0.048a | − 0.230a | 0.988a | 0.807 | − 3.691 | − 0.049 | − 869.87 |
(0.008) | (0.042) | (0.004) | (0.006) | (0.024) | (0.002) | (0.607) | (2.739) | (0.570) | |||
Estonia | 0.003 | − 0.243b | 0.932a | − 390.02 | 0.021 | − 0.411 | 0.915a | − 0.309 | − 2.881 | − 0.884a | − 502.83 |
(0.039) | (0.108) | (0.032) | (0.098) | (0.403) | (0.036) | (0.682) | (2.647) | (0.108) | |||
Hungary | 0.018 | − 0.144 | 0.977a | − 495.52 | 0.046 | − 0.296 | 0.957a | 1.380c | − 8.208b | − 0.455 | − 651.30 |
(0.014) | (0.098) | (0.017) | (0.296) | (1.850) | (0.246) | (0.764) | (3.768) | (0.364) | |||
Poland | 0.023 | − 0.122 | 0.981a | − 1036.38 | 0.011a | − 0.059a | 0.997a | 0.668 | − 2.032 | 0.588c | − 1285.95 |
(0.029) | (0.152) | (0.028) | (0.0001) | (0.003) | (0.0001) | (0.540) | (1.684) | (0.331) | |||
Romania | − 0.432 | − 0.217 | − 0.102 | − 621.98 | 0.106 | − 0.633 | 0.924a | − 0.359 | 1.760 | 0.346 | − 797.21 |
(1.207) | (0.367) | (2.866) | (0.132) | (0.774) | (0.086) | (0.351) | (1.582) | (0.457) | |||
Russia | 0.039a | − 0.217a | 0.980a | − 678.32 | 0.067a | − 0.329a | 0.977a | 0.086a | − 0.399a | 0.973a | − 864.38 |
(0.012) | (0.065) | (0.007) | (0.026) | (0.127) | (0.009) | (0.024) | (0.110) | (0.008) | |||
Slovenia | − 2.226a | 0.161 | − 0.905a | − 240.04 | 0.150 | − 0.865 | 0.951a | 0.258 | − 2.761 | 0.605 | − 348.51 |
(0.179) | (0.219) | (0.065) | (0.122) | (0.744) | (0.044) | (0.444) | (3.811) | (3.811) | |||
Ukraine | 0.034a | − 0.198a | 0.985a | − 216.61 | − 0.113 | − 1.951 | 0.713a | 0.068 | − 0.315 | 0.985a | − 250.67 |
(0.011) | (0.052) | (0.004) | (0.854) | (2.207) | (0.155) | (0.091) | (0.390) | (0.013) | |||
UK | 0.070 | − 0.256 | 0.962a | − 2170.07 | 6.918 | 1.203 | − 5.918 | 6.275 | − 0.092 | − 0.934 | − 2411.36 |
(0.087) | (0.250) | (0.060) | (–) | (–) | (–) | (–) | (–) | (–) |
Country | T-V Student t copula | T-V Gaussian copula | |||||
---|---|---|---|---|---|---|---|
v | α | β | AIC | α | β | AIC | |
Panel A: Copula estimates for CEE and UK returns during the non-crisis period under the VECM-GARCH(1,1) | |||||||
Croatia | 9.468a | 0.060 | 0.0002 | − 90.53 | 0.062 | 0.0003 | − 83.87 |
(3.610) | (0.037) | (0.057) | (0.080) | (1.875) | |||
Czech | 8.841a | 0.003 | 0.993a | − 313.28 | 0.004c | 0.992a | − 304.00 |
(2.853) | (0.002) | (0.002) | (0.002) | (0.003) | |||
Estonia | 6.857a | 0.032 | 0.544a | − 141.47 | 0.026 | 0.599a | − 123.36 |
(1.837) | (0.023) | (0.196) | (0.025) | (0.175) | |||
Hungary | 7.355a | 0.006 | 0.972a | − 231.39 | 0.007 | 0.978a | − 217.46 |
(2.010) | (0.006) | (0.016) | (0.005) | (0.011) | |||
Poland | 10.390b | 0.063a | 0.483b | − 295.17 | 0.067a | 0.473a | − 289.82 |
(4.062) | (0.023) | (0.229) | (0.023) | (0.164) | |||
Romania | 11.952 | 0.018a | 0.982a | − 4245.63 | 0.078a | 0.916a | − 2739.91 |
(10e−05) | (10e−05) | (0.00001) | (0.024) | (0.023) | |||
Russia | 9.465a | 0.022 | 0.932a | − 182.34 | 0.024a | 0.938a | − 175.65 |
(0.008) | (0.027) | (0.027) | (0.008) | (0.023) | |||
Slovenia | 8.394a | 0.019 | 0.862a | − 79.21 | 0.023c | 0.845a | − 70.44 |
(2.793) | (0.013) | (0.042) | 0.013 | (0.048) | |||
Ukraine | 11.943a | 0.018a | 0.982a | − 5332.09 | 0.099a | 0.893a | − 3274.04 |
(10e−05) | (10e−05) | (0.008) | (0.023) | (0.022) |
Country | T-V Clayton copula | T-V SJC copula | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ω | α | β | AIC | ωU | αU | βU | ωL | αL | βL | AIC | |
Croatia | − 1.897a | − 1.982c | − 0.433 | − 54.19 | − 0.059 | − 0.244 | 0.932a | − 2.142 | 2.110 | 0.275c | − 95.62 |
(0.706) | (1.090) | (0.308) | (0.130) | (0.501) | (0.023) | (1.780) | (5.418) | (0.159) | |||
Czech | − 0.003 | − 0.321c | 0.872a | − 253.96 | 0.853 | − 4.665 | 0.697a | − 0.102 | − 1.400 | − 0.976a | − 338.74 |
(0.058) | (0.184) | (0.084) | (0.747) | (4.292) | (0.247) | (0.777) | (3.096) | (0.018) | |||
Estonia | − 2.027a | 0.637 | − 0.480 | − 98.36 | − 0.020 | − 0.721 | 0.864a | − 0.272 | − 2.947 | 0.090 | − 145.22 |
(0.447) | (0.473) | (0.294) | (0.138) | (0.804) | (0.094) | (0.975) | (4.784) | (0.721) | |||
Hungary | − 1.074a | − 1.157c | − 0.470b | − 165.74 | 0.984 | − 7.793c | − 0.997a | 0.962 | − 7.815 | − 0.423 | − 243.00 |
(0.317) | (0.604) | (0.225) | (1.026) | (4.499) | (0.003) | (1.128) | (5.193) | (0.711) | |||
Poland | 0.047a | − 0.284a | 0.969a | − 231.11 | 1.460a | − 9.999a | − 0.247 | 0.109 | − 0.952 | 0.651c | − 300.44 |
(0.017) | (0.087) | (0.020) | (0.279) | (0.468) | (0.495) | (0.217) | (1.057) | (0.354) | |||
Romania | 0.259a | − 2.530a | 0.948a | − 1695.53 | 9.836 | − 0.158 | − 1.671 | 9.936 | − 0.078 | − 9.511 | − 1507.21 |
(0.047) | (0.460) | (0.010) | (–) | (–) | (–) | (–) | (–) | (–) | |||
Russia | − 1.604a | 0.380 | − 0.426c | − 136.13 | 1.385a | − 9.999a | 0.362b | 0.103 | − 0.839a | 0.847a | − 196.97 |
(0.311) | (0.339) | (0.237) | (0.269) | (0.114) | (0.155) | (0.087) | (0.320) | (0.064) | |||
Slovenia | − 2.403a | 0.960b | − 0.403b | − 60.19 | 0.011 | − 5.721 | 0.472 | − 2.168 | 0.594 | − 0.360 | − 75.95 |
(0.439) | (0.472) | (0.195) | (0.586) | (4.639) | (0.350) | (2.327) | (4.199) | (0.729) | |||
Ukraine | 0.538a | − 7.049a | 0.892a | − 2081.48 | 6.005a | 1.019c | 6.360a | 10.000a | 1.751b | − 9.502b | − 2085.81 |
(0.202) | (2.709) | (0.045) | (1.834) | (0.576) | (0.189) | (4.431) | (0.889) | (4.124) |
Country | T-V Student t copula | T-V Gaussian Copula | |||||
---|---|---|---|---|---|---|---|
v | α | β | AIC | α | β | AIC | |
Panel B: Copula estimates for CEE and UK returns during the GFC period under the VECM-GARCH(1,1) | |||||||
Croatia | 4.577a | 0.004 | 0.996a | − 271.07 | 0.232a | 1.205a | − 239.95 |
(0.680) | (0.003) | (0.0001) | (0.002) | (0.0001) | |||
Czech | 3.723a | 0.019 | 0.606a | − 387.63 | 0.974a | − 1.238a | − 336.83 |
(0.529) | (0.019) | (0.197) | (0.004) | (0.0001) | |||
Estonia | 4.429a | 0.004 | 0.871a | − 137.43 | 0.001 | 0.897a | − 114.41 |
(0.896) | (0.010) | (0.129) | (0.010) | (0.078) | |||
Hungary | 3.625a | 0.008a | 0.990a | − 273.50 | 0.0001 | 0.852 | − 234.85 |
(0.708) | (0.003) | (0.005) | (0.0001) | (0.781) | |||
Poland | 4.186a | 0.003 | 0.719 | − 457.66 | 0.031a | 31.132a | − 416.63 |
(0.633) | (0.018) | (0.551) | (0.0001) | (1.398) | |||
Romania | 5.267a | 0.012 | 0.0007 | − 293.95 | 0.752a | − 7.410a | − 278.31 |
(1.699) | (0.028) | (0.438) | (0.0001) | (1.096) | |||
Russia | 3.533a | 0.009a | 0.990a | − 419.79 | 0.0001 | 4.3E + 06a | − 365.85 |
(0.543) | (0.003) | (0.003) | (0.004) | (0.0001) | |||
Slovenia | 3.913a | 0.003 | 0.892a | − 201.86 | 0.455a | − 0.195a | − 166.36 |
(0.621) | (0.012) | (0.114) | (0.004) | (0.0001) | |||
Ukraine | 3.136a | 0.019b | 0.968a | − 102.06 | 0.024b | 0.948a | − 58.57 |
(0.534) | (0.008) | (0.014) | (0.012) | (0.022) |
Country | T-V Clayton copula | T-V SJC copula | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ω | α | β | AIC | ωU | αU | βU | ωL | αL | βL | AIC | |
Croatia | 0.042 | − 1.028b | 0.388 | − 209.29 | 0.372 | − 0.219 | − 0.590 | 0.4518 | − 0.240 | − 0.995a | − 274.49 |
0.125 | (0.461) | (0.250) | 7.124 | (22.153) | (6.165) | (0.964) | (3.375) | (0.002) | |||
Czech | − 0.072 | 0.408c | 0.932a | − 319.67 | 2.160b | − 7.794 | − 1.002a | − 0.214 | 6.405 | − 0.100 | − 400.69 |
(0.044) | (0.223) | (0.038) | (0.994) | (5.455) | (0.007) | (0.860) | (4.507) | (0.396) | |||
Estonia | − 1.386a | 0.354 | − 0.386 | − 86.71 | 0.010 | − 0.065b | 0.989a | − 0.251 | − 3.395 | − 0.287 | − 143.23 |
(0.433) | (0.467) | (0.326) | (0.008) | (0.030) | (0.004) | (1.536) | (7.151) | (1.870) | |||
Hungary | − 0.417b | 0.647 | 0.109 | − 200.94 | 0.080 | − 0.375 | 0.970a | 0.057 | − 0.280 | 0.991a | − 269.80 |
(0.179) | (0.527) | (0.254) | (0.065) | (0.317) | (0.018) | (0.176) | (0.857) | (0.012) | |||
Poland | 0.227 | 0.107 | − 0.536 | − 334.46 | 2.057 | − 5.791 | 0.196 | 1.987a | − 4.073a | − 1.017a | − 474.49 |
(0.259) | (0.550) | (0.582) | (2.815) | (7.945) | (1.167) | (0.002) | (0.029) | 0.001 | |||
Romania | − 0.467b | 0.557 | − 0.205 | − 205.80 | 0.050 | − 0.178 | 0.975a | 0.084 | − 0.400c | 0.983a | − 307.49 |
(0.194) | (0.482) | (0.218) | (0.045) | (0.219) | (0.011) | (0.057) | (0.271) | (0.009) | |||
Russia | 0.265 | − 0.323 | − 0.502a | − 321.31 | 0.221b | − 1.016b | 0.962a | 2.914a | − 7.509c | − 0.676a | − 425.35 |
(0.186) | (0.464) | (0.173) | (0.100) | (0.483) | (0.014) | (0.918) | (4.424) | (0.100) | |||
Slovenia | − 0.903a | 0.849c | − 0.184 | − 145.16 | 0.208 | − 0.957 | 0.968a | − 1.331 | 3.348 | − 0.977a | − 208.46 |
(0.249) | (0.496) | (0.324) | (0.324) | (1.553) | (0.024) | (0.986) | (3.196) | (0.011) | |||
Ukraine | 0.048 | − 0.349c | 0.962a | − 62.69 | 0.247b | − 1.146b | 0.960a | 0.095 | − 0.559 | 0.954a | − 94.85 |
(0.039) | (0.206) | (0.017) | (0.123) | (0.545) | (0.029) | (0.097) | (0.508) | (0.050) |
Country | T-V Student t copula | T-V Gaussian copula | |||||
---|---|---|---|---|---|---|---|
v | α | β | AIC | α | β | AIC | |
Panel C: Copula estimates for CEE and UK returns during the Eurozone crisis period under the VECM-GARCH(1,1) | |||||||
Croatia | 6.859a | 0.017 | 0.967a | − 379.51 | 0.027 | 0.936a | − 336.11 |
(1.237) | (0.016) | (0.043) | (0.020) | (0.067) | |||
Czech | 5.935a | 0.003a | 0.993a | − 674.21 | 0.003a | 0.993a | − 623.37 |
(0.858) | (0.001) | (0.002) | (0.001) | (0.002) | |||
Estonia | 5.364a | 0.016b | 0.881a | − 415.25 | 0.015c | 0.894a | − 344.17 |
(0.679) | (0.008) | (0.055) | (0.008) | (0.056) | |||
Hungary | 6.925a | 0.003a | 0.993a | − 522.48 | 0.003a | 0.993a | − 484.68 |
(1.196) | (0.001) | (0.002) | (0.001) | (0.003) | |||
Poland | 6.197a | 0.003a | 0.993a | − 1024.67 | 0.004 | 0.988a | − 963.87 |
(0.817) | (0.001) | (0.005) | (0.006) | (0.021) | |||
Romania | 6.486a | 0.001 | 0.996a | − 609.21 | 0.001 | 0.996a | − 557.95 |
(0.960) | (0.001) | (0.001) | (0.001) | (0.002) | |||
Russia | 7.736a | 0.004a | 0.994a | − 960.35 | 0.004a | 0.995a | − 926.99 |
(1.528) | (0.001) | (0.001) | (0.001) | (0.001) | |||
Slovenia | 8.189a | 0.005b | 0.991a | − 242.41 | 0.006 | 0.987a | − 211.79 |
(1.706) | (0.002) | (0.003) | (0.005) | (0.012) | |||
Ukraine | 11.898a | 0.009b | 0.982a | − 224.02 | 0.009b | 0.983a | − 212.36 |
(3.547) | (0.004) | (0.008) | (0.004) | (0.008) |
Country | T-V Clayton copula | T-V SJC copula | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
ω | α | β | AIC | ωU | αU | βU | ωL | αL | βL | AIC | |
Croatia | 0.057 | − 0.891 | 0.844a | − 282.8 | 0.785 | − 10.000 | − 0.319 | 1.118 | − 10.000 | − 0.488 | − 358.09 |
(0.035) | (0.632) | (0.148) | (1.885) | (18.745) | (2.941) | (4.051) | (41.499) | (7.305) | |||
Czech | 0.034c | − 0.297b | 0.939a | − 540.7 | 0.677 | − 5.071 | 0.006 | 0.094 | − 0.474 | 0.916a | − 691.80 |
(0.020) | (0.131) | (0.034) | (0.807) | (4.886) | (0.745) | (0.070) | (0.353) | (0.070) | |||
Estonia | 0.011 | − 0.305b | 0.932a | − 316.3 | 0.306 | − 4.136 | 0.320 | 0.072 | − 0.605b | 0.902a | − 421.30 |
(0.034) | (0.119) | (0.033) | (0.625) | (5.359) | (0.708) | (0.051) | (0.250) | (0.039) | |||
Hungary | − 0.010a | 0.038a | 1.000a | − 409.2 | 0.034 | − 0.250 | 0.968 | 0.282 | − 3.319 | 0.045 | − 529.14 |
(0.001) | (0.001) | (0.001) | (5.092) | (25.857) | (1.491) | (15.394) | (64.599) | (1.207) | |||
Poland | 0.040 | − 0.223 | 0.965a | − 883.8 | 1.168b | − 6.228b | − 0.389a | 0.105a | − 0.411a | 0.956a | − 1074.08 |
(0.026) | (0.143) | (0.030) | (0.564) | (2.753) | (0.050) | (0.037) | (0.136) | (0.022) | |||
Romania | − 0.493 | − 0.255 | 0.116 | − 496.4 | 0.092 | − 0.678c | 0.908a | − 0.193 | − 0.596 | − 0.487c | − 630.80 |
(0.329) | (0.401) | (0.626) | (0.080) | (0.389) | (0.035) | (0.589) | (2.282) | (0.250) | |||
Russia | 0.042a | − 0.220a | 0.983a | − 786.4 | 0.071 | − 0.352 | 0.959a | 0.073a | − 0.331a | 0.985a | − 978.91 |
(0.013) | (0.069) | (0.006) | (0.057) | (0.281) | (0.034) | (0.009) | (0.041) | (0.002) | |||
Slovenia | 0.023 | − 0.443b | 0.929a | − 187.0 | 0.623b | − 4.243b | 0.757a | 0.191 | − 6.995b | − 0.242 | − 253.80 |
(0.038) | (0.203) | (.045) | (0.308) | (2.150) | (0.157) | (0.644) | (3.368) | (0.453) | |||
Ukraine | 0.038a | − 0.213a | 0.985a | − 189.2 | − 0.142 | − 2.560 | 0.612 | 0.076 | − 0.351 | 0.985a | − 228.85 |
(0.012) | (0.061) | (0.005) | (0.469) | (2.574) | (0.415) | (0.066) | (0.305) | (0.011) |
5.1 Copula estimates using CEE and German returns
5.1.1 Goodness-of-fit of copulas for CEE and German returns
5.1.2 Degrees of freedom and T-V Student t copula
5.1.3 The T-V Student t copula and the non-crisis and crisis periods
5.1.4 T-V SJC copula and sub-period performance
5.1.5 T-V SJC copula and change in dependence across sub-periods
5.2 Copula estimates using CEE and UK returns
5.2.1 Goodness-of-fit of copulas based on CEE and UK returns
5.2.2 Degrees of freedom and T-V Student t copula
5.2.3 T-V SJC copula and sub-period performance
6 Additional tests and discussion
6.1 BEKK estimation
6.2 Instrumental variable-Generalized Method of Moments (IV-GMM) estimation
Model | (1) | (2) | (3) | (4) | (5) | (6) | (7) |
---|---|---|---|---|---|---|---|
Country legal measures | Rule of law | Regulatory quality | Political stability | Voice | Govern. effectiveness | Corruption | Quality of government |
GDP_Growth Rate (%) | 2.283b | 2.323b | 2.206c | 2.319b | 2.267b | 2.712b | 2.429b |
(1.057) | (1.079) | (1.138) | (1.099) | (1.102) | (1.079) | (1.065) | |
GFC Dummy | − 7.833 | − 6.143 | − 5.751 | − 7.694 | − 7.173 | − 10.32c | − 7.764 |
(6.340) | (6.601) | (6.793) | (6.579) | (6.485) | (6.266) | (6.413) | |
Eurozone crisis Dummy | − 11.48a | − 10.39b | − 9.439b | − 12.86a | − 10.83b | − 13.45a | − 11.70a |
(4.235) | (4.358) | (4.364) | (4.583) | (4.276) | (4.469) | (4.287) | |
Lending_Interest_Rate (%) | 0.0499 | 0.686 | 0.736 | 0.481 | 0.520 | 0.491 | 0.410 |
(0.708) | (0.668) | (0.639) | (0.645) | (0.686) | (0.608) | (0.662) | |
Export_Growth (%) | − 0.501 | − 0.510 | − 0.506 | − 0.493 | − 0.535 | − 0.698c | − 0.553 |
(0.421) | (0.438) | (0.431) | (0.429) | (0.422) | (0.416) | (0.417) | |
Private_Credit_by_Deposit_ | 0.784a | 0.699a | 0.653a | 0.741a | 0.709a | 0.788a | 0.749a |
Money Banks_GDP (%) | (0.0852) | (0.0770) | (0.0748) | (0.0815) | (0.0779) | (0.0923) | (0.0830) |
Broad Money Growth (%) | 0.159 | 0.186 | 0.181 | 0.180 | 0.169 | 0.137 | 0.161 |
(0.143) | (0.146) | (0.148) | (0.149) | (0.142) | (0.148) | (0.145) | |
Terms_of_Trade (%) | 0.0282 | − 0.0513 | − 0.0727 | 0.0444 | − 0.0736 | 0.00025 | − 0.00683 |
(0.129) | (0.137) | (0.141) | (0.140) | (0.140) | (0.136) | (0.133) | |
Reserve_Growth (%) | 0.0624 | 0.0769c | 0.0716 | 0.0754 | 0.0691 | 0.0590 | 0.0653 |
(0.0465) | (0.0451) | (0.0518) | (0.0467) | (0.0474) | (0.0484) | (0.0479) | |
Stock_Market_Turnover_Ratio | 0.0445 | − 0.00393 | − 0.0109 | 0.0062 | − 0.0008 | 0.0215 | 0.0232 |
(0.0447) | (0.0497) | (0.0347) | (0.0390) | (0.0415) | (0.0386) | (0.0430) | |
Rule of Law | − 15.72b | ||||||
(7.110) | |||||||
Regulatory Quality | − 4.453 | ||||||
(8.455) | |||||||
Political Stability | − 5.347 | ||||||
(6.520) | |||||||
Voice and Accountability | − 15.058c | ||||||
(8.927) | |||||||
Government Effectiveness | − 6.765 | ||||||
(7.360) | |||||||
Control of Corruption | − 10.275b | ||||||
(4.699) | |||||||
Quality of Government | − 2.466c | ||||||
(1.408) | |||||||
Constant | 1.989 | 16.136 | 15.426 | − 0.533 | 19.232 | 4.540 | 5.019 |
(15.32) | (14.82) | (16.88) | (18.11) | (14.86) | (16.44) | (16.12) | |
Observations | 106 | 106 | 106 | 106 | 106 | 106 | 106 |
R-squared | 0.753 | 0.739 | 0.738 | 0.744 | 0.739 | 0.751 | 0.746 |
Income fixed effect | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Robust | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Test of Endogenity | 0.178 | 0.364 | 0.522 | 0.324 | 0.363 | 0.071 | 0.205 |
Hanen J-statistic | 0.333 | 0.733 | 0.417 | 0.635 | 0.457 | 0.512 | 0.432 |
First stage, F-statistic | 18.743a | 19.125a | 17.232a | 17.292a | 18.825a | 17.542a | 18.374a |