Financial Markets and International Risk Sharing



Table 6: Determinants of variation in country cyclicality

Cyclicality coefficient on

Equity capital
gains in
domestic
currency

(1)

Equity capital
gains in US
dollars

(2)

Bond capital
gains in
domestic
Currency

(3)

Bond capital
gains in US
dollars

(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



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