Table A.3: Information criterion statistics for autoregressive distributed lag model<sup>_†_</sup>

|||**AI**|**C**|||||**BIC**||||
|---|---|---|---|---|---|---|---|---|---|---|---|
||||_Lt_|||||_Lt_||||
||_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4|_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4||
|_St_<br>|146.73|146.73|133.07|38.86<sup>_∗∗_</sup>|43.51|220.01|220.01|212.45|124.34<sup>_∗∗_</sup>|135.08|_St_<br>|
|_St−_1|146.73|146.73|133.07|38.86<sup>_∗∗_</sup>|43.51|220.01|220.01|212.45|124.34<sup>_∗∗_</sup>|135.08|_St−_1|
|_St−_2|175.63|175.63|177.48|88.72|93.44|254.55|254.55|262.47|179.76|190.54|_St−_2|
|_St−_3|100.71|100.71|102.53|102.35|107.15|185.15|185.15|193.01|198.86|209.68|_St−_3|
|_St−_4|82.19|82.19|82.86|82.56|84.55|172.05|172.05|178.72|184.41|192.39|_St−_4|
||||_Lt−_1|||||_Lt−_1||||
||_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4|_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4||
|_St_|146.73|146.73|133.07|38.86<sup>_∗∗_</sup>|43.51|220.01|220.01|212.45|124.34<sup>_∗∗_</sup>|135.08|_St_|
|_St−_1|146.73|146.73|133.07|38.86<sup>_∗∗_</sup>|43.51|220.01|220.01|212.45|124.34<sup>_∗∗_</sup>|135.08|_St−_1|
|_St−_2|175.63|175.63|177.48|88.72|93.44|254.55|254.55|262.47|179.76|190.54|_St−_2|
|_St−_3|100.71|100.71|102.53|102.35|107.15|185.15|185.15|193.01|198.86|209.68|_St−_3|
|_St−_4|82.19|82.19|82.86|82.56|84.55|172.05|172.05|178.72|184.41|192.39|_St−_4|
||||_Lt−_2|||||_Lt−_2||||
||_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4|_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4||
|_St_|126.56|126.56|126.43|35.36|40.03|205.95|205.95|211.92|126.94|137.70|_St_|
|_St−_1|126.56|126.56|126.43|35.36|40.03|205.95|205.95|211.92|126.94|137.70|_St−_1|
|_St−_2|172.37|172.37|173.16|86.22|90.97|257.36|257.36|264.22|183.33|194.14|_St−_2|
|_St−_3|96.75|96.75|97.30|99.20|102.99|187.23|187.23|193.81|201.74|211.55|_St−_3|
|_St−_4|77.62|77.62|74.83|76.43|75.86|173.48|173.48|176.68|184.28|189.69|_St−_4|
||||_Lt−_3|||||_Lt−_3||||
||_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4|_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4||
|_St_|33.41<sup>_∗∗∗_</sup>|33.41<sup>_∗∗∗_</sup>|33.64<sup>_∗_</sup>|34.63|36.00|118.89<sup>_∗∗∗_</sup>|118.89<sup>_∗∗∗_</sup>|125.23<sup>_∗_</sup>|132.32|139.78|_St_|
|_St−_1|33.41<sup>_∗∗∗_</sup>|33.41<sup>_∗∗∗_</sup>|33.64<sup>_∗_</sup>|34.63|36.00|118.89<sup>_∗∗∗_</sup>|118.89<sup>_∗∗∗_</sup>|125.23<sup>_∗_</sup>|132.32|139.78|_St−_1|
|_St−_2|80.55|80.55|82.48|82.71|84.68|171.59|171.59|179.59|185.88|193.91|_St−_2|
|_St−_3|96.68|96.68|98.26|99.15|99.57|193.19|193.19|200.80|207.72|214.16|_St−_3|
|_St−_4|78.81|78.81|76.81|78.38|76.22|180.67|180.67|184.65|192.21|196.05|_St−_4|
||||_Lt−_4|||||_Lt−_4||||
||_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4|_Ut_|_Ut−_1|_Ut−_2|_Ut−_3|_Ut−_4||
|_St_|35.54|35.54|34.13|36.05|25.53|127.11|127.11|131.81|139.83|135.41|_St_|
|_St−_1|35.54|35.54|34.13|36.05|25.53|127.11|127.11|131.81|139.83|135.41|_St−_1|
|_St−_2|77.10|77.10|78.89|80.78|69.22|174.19|174.19|182.05|190.01|184.52|_St−_2|
|_St−_3|96.93|96.93|98.55|100.47|89.14|199.45|199.45|207.10|215.06|209.75|_St−_3|
|_St−_4|79.18|79.18|78.15|80.10|72.43|187.02|187.02|191.98|199.93|198.24|_St−_4|

> _†_ Notes: Akaike (AIC) and Bayesian (BIC) information criteria reported for models with up to four lags for the liquidity ( _L_ ), solvency ( _S_ ), and uncertainty ( _U_ ) channels for the benchmark model. _∗_ indicates third-lowest statistic, _∗∗_ indicates second-lowest statistic, and<sup>_∗∗∗_</sup> indicates lowest statistic, for the corresponding criterion. Multiple asterisks indicate ties.

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