|
P (mv,b) |
P (ΔMV,ΔB) |
P (ΔMV,ΔY) |
P (δy,δb) |
P (ΔMV,ω) |
p (ΔB,ω) |
UR |
UR | |
|
Australia |
0.897 |
0.653 |
-0.183 |
0.048 |
0.549 |
0.408 |
-2.47 |
-2.19 |
|
Austria |
0.798 |
0.925 |
-0.228 |
-0.367 |
0.131 |
0.304 |
-1.69 |
-1.61 |
|
Belgium |
0.997 |
0.883 |
-0.172 |
-0.117 |
-0.117 |
-0.154 |
-0.17 |
-0.34 |
|
Canada |
0.994 |
0.858 |
-0.262 |
-0.321 |
0.303 |
0.602 |
-0.03 |
-0.8 |
|
France | ||||||||
|
Germany |
0.996 |
0.794 |
-0.347 |
-0.397 |
-0.213 |
-0.315 |
-1.62 |
-1.26 |
|
Ireland |
0.903 |
0.63 |
-0.491 |
-0.799 |
0.469 |
0.77 |
-1.23 |
-0.85 |
|
Italy |
0.993 |
0.604 |
-0.547 |
-0.337 |
-0.117 |
0.087 |
-0.46 |
-0.59 |
|
NL |
0.871 |
0.904 |
-0.517 |
-0.684 |
0.317 |
0.477 |
-0.43 |
-1.81 |
|
Norway |
0.804 |
0.867 |
-0.132 |
0.11 |
0.36 |
0.232 |
-1.95 |
-2.31 |
|
UK |
0.81 |
0.445 |
0.039 |
-0.299 |
0.369 |
0.539 |
-2.12 |
-1.11 |
|
US |
0.987 |
0.715 |
-0.505 |
-0.45 |
0.564 |
0.871 |
-0.69 |
-1.52 |
Table 2 - Comparing Debt Measures
Pχγ is the correlation coefficient between X and Y where MV is the market value of debt, B is the
outstanding value of debt, Y is GDP, ω denotes the primary deficit. The statistic quoted in the UR column
is the Augmented Dickey Fuller test for each variable including four lags and a time trend.
35