Table 6: Determinants of variation in country cyclicality
|
Cyclicality coefficient on | ||||
|
Equity capital (1) |
Equity capital (2) |
Bond capital (3) |
Bond capital (4) | |
|
GDP-PC |
6.00 |
3.05 |
1.96 |
2.08 |
|
(1.66)*** |
(1.55)** |
(1.26) |
(1.35) | |
|
Stock market |
3.39 |
3.51 | ||
|
capitalisation |
(1.80)* |
(1.66)** | ||
|
Bond market |
-0.61 |
-2.46 | ||
|
capitalisation |
(0.44) |
(0.69)*** | ||
|
R2 |
0.29 |
0.25 |
0.15 |
0.18 |
Notes:
The dependent variables are the estimated beta-coefficients from the individual country analysis; the
explanatory variables are country averages of GDP per capita in natural log form, domestic stock
market capitalisation (as ratio to GDP) and domestic bond market capitalisation (as ratio to GDP).
See text for definitions of all variables. Estimation by weighted least squares (weighting by t-statistics
of “first-step” estimation). Standard errors in parentheses. Switzerland excluded from analysis. ***,
**, * denote significance at the 1, 5 and 10 percent levels respectively.
18