Table 6: Average pair-wise cross-section correlations of variables using in GVAR model and associated model’s residuals

|||real|GDP|||inf|lation|||real eq|uity prices||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
||||VAR|X* Res|||VAR|X* Res|||VA|RX* Res|
||Leels|1stDiff|Te-1|Te-2|Leels|1stDiff|Te-1|Te-2|Leels|1stDiff|Te-|Te-2|
|arg|v<br>091|<br>008|yp<br>-003|yp<br>-002|v<br>029|<br>005|yp<br>006|yp<br>003|v<br>046|<br>023|yp<br>015|yp<br>-001|
|austlia|.<br>0.97|.<br>0.14|.<br>0.10|.<br>0.06|.<br>0.33|.<br>0.09|.<br>0.08|.<br>0.03|.<br>0.79|.<br>0.54|.<br>0.45|.<br>0.06|
|bra|0.96|0.15|0.06|0.04|0.25|0.02|0.00|-0.05|||||
|can|0.97|0.20|0.04|0.00|0.41|0.14|0.07|0.01|0.73|0.55|0.45|0.04|
|china|0.97|0.09|0.03|0.04|0.13|0.06|0.03|-0.01|||||
|chl|0.97|0.14|0.05|0.05|0.39|0.05|0.04|0.03|0.77|0.34|0.33|0.08|
|euro|0.96|0.25|0.13|0.10|0.44|0.16|0.10|0.02|0.75|0.56|0.49|-0.09|
|india|0.97|-0.02|-0.01|-0.01|0.16|0.04|0.05|0.04|0.76|0.32|0.25|0.02|
|indns|0.97|0.10|0.01|0.01|0.03|0.05|0.04|0.03|||||
|japan|0.89|0.15|0.05|0.05|0.35|0.09|0.05|0.05|0.29|0.44|0.28|-0.08|
|kor|0.96|0.15|0.09|0.07|0.35|0.06|0.04|0.04|0.71|0.38|0.28|-0.03|
|mal|0.97|0.20|0.06|0.05|0.26|0.11|0.08|0.04|0.62|0.40|0.37|0.04|
|mex|0.97|0.16|0.06|0.04|0.23|0.00|0.03|0.02|||||
|nor|0.96|0.09|0.06|0.05|0.37|0.08|0.06|0.02|0.80|0.50|0.39|0.08|
|nzld|0.96|0.14|0.08|0.08|0.32|0.07|0.08|0.04|0.40|0.41|0.32|0.03|
|per|0.88|0.06|0.02|0.02|0.26|-0.04|-0.02|-0.03|||||
|phlp|0.95|0.06|0.02|0.00|0.21|0.02|0.01|0.02|0.72|0.36|0.30|0.03|
|safrc|0.95|0.19|0.07|0.07|0.33|0.04|0.02|0.01|0.77|0.47|0.38|0.10|
|sarbia|0.91|0.03|0.04|0.03|-0.01|0.01|0.05|0.05|||||
|sing|0.97|0.20|0.11|0.09|0.20|0.05|0.07|0.03|0.74|0.54|0.48|0.03|
|swe|0.97|0.20|0.12|0.08|0.45|0.10|0.09|0.03|0.77|0.51|0.44|-0.01|
|switz|0.97|0.20|0.09|0.07|0.41|0.10|0.09|0.04|0.78|0.54|0.45|0.02|
|thai|0.95|0.14|0.05|0.03|0.28|0.06|0.02|0.00|0.65|0.40|0.34|0.06|
|turk|0.97|0.14|0.03|0.03|0.16|-0.01|0.00|-0.02|||||
|uk|0.96|0.19|0.08|0.04|0.44|0.10|0.08|0.04|0.77|0.56|0.49|-0.01|
|usa|0.97|0.21|0.09|0.04|0.40|0.18|0.08|0.01|0.77|0.54|0.43|-0.01|
|||real exc|hange rate|||short-term|interest ra|te||long-term|interest r|ate|
||||VAR|X* Res|||VAR|X* Res|||VA|RX* Res|
||Levels|1stDiff|Type-1|Type-2|Levels|1stDiff|Type-1|Type-2|Levels|1stDiff|Type-1|Type-2|
|arg|0.37|0.09|0.05|0.04|0.45|0.03|0.05|0.01|||||
|austlia|0.83|0.37|0.23|0.22|0.62|0.13|0.12|0.05|0.89|0.38|0.30|0.04|
|bra|0.79|0.21|0.11|0.10|0.43|0.01|0.04|-0.03|||||
|can|0.81|0.32|0.15|0.13|0.67|0.18|0.14|0.11|0.91|0.36|0.31|-0.03|
|china|0.53|0.09|-0.01|-0.03|0.56|0.07|0.04|0.03|||||
|chl|0.76|0.29|0.14|0.15|0.63|0.02|0.00|0.00|||||
|euro|0.80|0.35|0.24|0.25|0.68|0.17|0.10|0.06|0.89|0.44|0.34|-0.08|
|india|0.61|0.26|0.12|0.10|0.30|0.10|0.07|0.06|||||
|indns|0.35|0.22|0.12|0.12|0.26|0.07|0.06|0.05|||||
|japan|0.72|0.16|0.11|0.11|0.62|0.03|0.02|0.02|0.86|0.26|0.21|-0.06|
|kor|0.80|0.30|0.15|0.12|0.63|0.05|0.02|0.04|0.83|0.04|0.00|-0.05|
|mal|0.76|0.30|0.17|0.15|0.50|0.06|0.02|0.05|||||
|mex|0.73|0.10|0.01|0.00|0.52|0.02|0.03|0.03|||||
|nor|0.82|0.39|0.24|0.24|0.63|0.05|0.00|-0.01|0.88|0.31|0.23|0.01|
|ld|083|037|023|021|059|006|008|002|081|019|011|003|
|nz<br>per|.<br>076|.<br>006|.<br>004|.<br>006|.<br>044|.<br>004|.<br>007|.<br>005|.|.|.|.|
|phlp|.<br>0.82|.<br>0.18|.<br>0.13|.<br>0.14|.<br>0.64|.<br>0.09|.<br>0.09|.<br>0.06|||||
|safrc|071|032|018|017|054|011|006|004|068|021|014|001|
|sarbia|.<br>0.67|.<br>0.08|.<br>0.04|.<br>0.04|.|.|.|.|.|.|.|.|
|sing|0.83|0.38|0.24|0.24|0.60|0.08|0.07|0.04|||||
|swe<br>|0.78|0.35|0.21|0.20|0.70|0.09|0.04|0.01|0.91|0.40|0.31|0.04|
|switz|0.82|0.31|0.22|0.25|0.54|0.09|0.06|0.02|0.81|0.36|0.27|0.03|
|thai|0.82|0.30|0.20|0.19|0.62|0.11|0.09|0.06|||||
|turk|0.81|0.22|0.14|0.10|0.34|0.05|0.04|0.00|||||
|uk|0.78|0.33|0.19|0.18|0.69|0.15|0.09|0.05|0.90|0.40|0.30|-0.02|
|usa|||||0.62|0.10|0.06|0.04|0.88|0.40|0.33|-0.01|

Note: Please refer to Table A1 in the Appendix for a glossary of acronyms. VARX* Res (Type-2) refers to residuals from country-specific VARX* models. The specification is given as Equation (4). VARX* Res (Type-1) are obtained after re-estimating the model without the contemporaneous “star” variables.

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