Coefficients

UK

GER

FRN

CN

JP

β₀

0.0135

-

0.0221

-

0.0041

-

0.0090

-

0.0140

-

(0.5241)

(0.4269)

(0.8756)

(0.7688)

(0.5905)

β₁

0.1016

*

0.1016

**

0.1038

**

0.0807

*

−0.0164

-

(0.0736)

(0.0369)

(0.0222)

(0.0932)

(0.6614)

β₂

−0.1506

**

−0.1875

**

−0.1971

**

−0.2589

**

−0.0268

-

(0.0352)

(0.0460)

(0.0244)

(0.0129)

(0.7618)

β₃

−0.2336

***

−0.1867

***

−0.2296

***

−0.0021

-

−0.1036

***

(<0.0001)

(<0.0001)

(<0.0001)

(0.8810)

(<0.0001)

Contagions effects

β₄(Post-Crisis)

0.2159

***

0.1321

**

0.1827

***

0.2591

***

0.6748

***

(0.0002)

(0.0220)

(0.0007)

(<0.0001)

(<0.0001)

β₅(Pre-Crisis)

0.1832

***

0.1663

***

0.2144

***

−0.1782

***

−0.3205

***

(<0.0001)

(0.0010)

(<0.0001)

(0.0010)

(0.0007)

β₆(Crisis)

0.2850

***

0.3768

***

0.3141

***

−0.0735

-

0.3421

***

(0.0004)

(0.0001)

(0.0003)

(0.4028)

(<0.0001)

TAR Threshold effects

β₇(Post-Crisis)

0.1215

**

0.2412

***

0.2178

***

−0.5424

***

−0.1781

***

(0.0437)

(<0.0001)

(0.0001)

(<0.0001)

(0.0001)

β₈(Pre-Crisis)

−0.2239

***

−0.2882

***

−0.2276

***

−0.0971

-

0.1571

*

(<0.0001)

(0.0001)

(0.0006)

(0.1420)

(0.0971)

β₉₍Crisis)

−0.2210

**

−0.4931

***

−0.2501

***

0.2884

***

−0.3728

***

(0.0138)

(<0.0001)

(0.0091)

(0.0045)

(<0.0001)

τ₁(Pre-Crisis)

−0.4398

−0.3765

−0.3765

−0.9154

−3.6099

τ₂(Crisis)

−4.8531

−4.8531

−4.8531

−3.9807

−4.8531

τ₃(Post-Crisis)

−4.8531

−3.9807

−3.9807

5.6155

3.0055

AIC

16144.22

19086.93

18459.24

18797.91

17385.33

SBC

16120.80

19063.52

18435.83

18774.44

17361.87

LOGL

−8056.11

−9527.46

−9213.62

−9382.95

−8676.66

N

5362

5369

5396

5089

5151