Long-Term Capital Movements

35

Table 5. Changes in net foreign assets: speed of adjustment
Panel regressions, error-correction specification

A. Industrial countries*

* Ordinary least squares, t-statistics in parentheses (р-value for the χ² (Demog.) statistic). * (**) indicates
statistical significance at the 5% (1%) confidence level. Regressions also include the lagged first difference in
CUMCA, contemporaneous first differences in the other variables belonging to the Z vector and country and
time dummies. In regressions (1) and (2) the dependent variable is the change in CUMCA for all countries
except Belgium, for which it is the change in the IIP estimate of net foreign assets minus gold. In regression (3)
the dependent variable is the change in the IIP estimate of NFA for Belgium, Canada, Italy, Japan and United
Kingdom, and the change in CUMCA for all other countries. In regression (4) it is the change in the IIP
estimate of NFA for Austria, Belgium, Canada, Finland, Germany, Italy, Japan, Netherlands, Spain, Sweden,
Switzerland, United Kingdom and United States and the change in CUMCA for the remaining countries.

B. Developing countries**

** Ordinary least squares, t-statistics in parentheses (p-value for the χ² (Demog.) statistic). * (**) indicates
statistical significance at the 5% (1%) confidence level. In regressions (1)-(4) the dependent variable is the
change in CUMCA, in regressions (5)-(6) it is the change in CUMFL. Regressions also include the lagged first
difference in the dependent variable, contemporaneous first differences in the other variables belonging to the Z
vector and country and time dummies. Regressions (3)-(6) exclude Singapore from the sample.

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