*THIS FILE CONTAINS THE COMPLETE CODE FOR ALL THE ESTIMATION TABLES IN "THE CURRENCY DIMENSION OF THE BANK LENDING CHANNEL IN INTERNATIONAL MONETARY TRANSMISSION" BY ELOD TAKATS AND JUDIT TEMESVARY, TO BE PUBLISHED IN THE JOURNAL OF INTERNATIONAL ECONOMICS *MAIN TABLES *TABLE 1 - summary statistics table set matsize 11000 ********************************************************* use "\\XXYYZZ\dataset33.dta", clear estimates restore table2 gen sample=e(sample) drop if sample==. keep if e(sample) keep total_flows fx_liquidity_short rate_change_source ssr_rate_change short_long_ratio own_currency same_country sector_id denomination outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) replace eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) *by sector *nonbank use "\\XXYYZZ\dataset33.dta", clear estimates restore table3 gen sample=e(sample) drop if sample==. keep if e(sample) keep nonbank_flows fx_liquidity rate_change_source ssr_rate_change same_country own_currency sector_id denomination outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("nonbank") *bank use "\\XXYYZZ\dataset33.dta", clear estimates restore table3 gen sample=e(sample) drop if sample==. keep if e(sample) keep bank_flows fx_liquidity rate_change_source ssr_rate_change same_country own_currency sector_id denomination outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("bank") ******************************* *by currency use "\\XXYYZZ\dataset10.dta", clear *USD estimates restore table6 gen sample=e(sample) drop if sample==. keep if e(sample) keep nonbank_flows fx_liquidity rate_change_source same_country same_curr_t short_long_ratio sector_id denomination outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("USD") **************** use "\\XXYYZZ\dataset10.dta", clear *EUR estimates restore table6 gen sample=e(sample) drop if sample==. keep if e(sample) keep nonbank_flows fx_liquidity rate_change_source same_country same_curr_t short_long_ratio sector_id denomination outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("EUR") ***************** use "\\XXYYZZ\dataset10.dta", clear *JPY estimates restore table6 gen sample=e(sample) drop if sample==. keep if e(sample) keep nonbank_flows fx_liquidity rate_change_source same_country same_curr_t short_long_ratio sector_id denomination outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("JPY") **************** use "\\XXYYZZ\dataset33.dta", clear *main explanatory variables and macro controls estimates restore table2 gen sample=e(sample) drop if sample==. keep if e(sample) keep nonbank_flows fx_liquidity rate_change_source same_country same_curr_t short_long_ratio sector_id denomination fx_liquidity_short short_long_ratio gdp_growth_source gen rate_usd=ssr_rate_change if denomination=="USD" gen rate_eur=ssr_rate_change if denomination=="EUR" gen rate_jpy=ssr_rate_change if denomination=="JPY" outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("main explanatory variables and macro controls") ********************************** *additional controls use "\\XXYYZZ\dataset40.dta", clear estimates restore tablea4 gen sample=e(sample) drop if sample==. keep if e(sample) keep capital_ratio_fsi tier1_cap_ratio outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("capital ratios") ********************************** use "\\XXYYZZ\dataset15.dta", clear estimates restore tablea5 gen sample=e(sample) drop if sample==. keep if e(sample) keep yield_spread_change outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("yields") ********************************** use "\\XXYYZZ\dataset42.dta", clear estimates restore tablea5 gen sample=e(sample) drop if sample==. keep if e(sample) keep cost_change outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("funding costs") ********************************** use "\\XXYYZZ\dataset33.dta", clear *same country and own currency dummies estimates restore table2 gen sample=e(sample) drop if sample==. keep if e(sample) keep same_country own_currency outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("same country and own currency dummies") ********************************** use "\\XXYYZZ\dataset16.dta", clear *synthetic funding costs estimates restore tablea10 gen sample=e(sample) drop if sample==. keep if e(sample) keep swap_rate_change_usd_eur swap_rate_change_usd_jpy swap_rate_change_eur_usd swap_rate_change_eur_jpy swap_rate_change_jpy_usd swap_rate_change_jpy_eur outreg2 using "\\XXYYZZ\Table 1.xls", sum(detail) append eqkeep(mean sd min p1 p5 p25 p50 p75 p95 p99 max N) ctitle("swap points") ********************************** *TABLE 2 set matsize 10000 use "\\XXYYZZ\dataset33.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) ********************************************************* xi i.source_id i.time_id i.host_id quietly xtabond total_flows L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("All","") nocons ******************************************************************************* use "\\XXYYZZ\dataset33.dta", clear xi i.time_id i.source_id quietly xtabond total_flows L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Itime_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons *************************************************************************************************** use "\\XXYYZZ\dataset33.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ************************************************************************************************** use "\\XXYYZZ\dataset33.dta", clear gen same_liq=same_country*fx_liquidity_short gen same_rate=same_country*ssr_rate_change gen inter1_same_country=inter1*same_country gen inter2_same_country=inter2*same_country gen inter3_same_country=inter3*same_country gen inter4_same_country=inter4*same_country xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_liq l(1/4).same_rate L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1_same - inter4_same inter1-inter4 L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_same_country]+_b[ inter2_same_country]+_b[ inter3_same_country]+_b[ inter4_same_country])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom same_liq: _b[ L.same_liq]+_b[ L2.same_liq]+_b[ L3.same_liq]+_b[ L4.same_liq], post gen beta_same_liq=_b[same_liq] gen se_same_liq=_se[same_liq] version 9: gen pv_same_liq=2*(1-norm(abs(beta_same_liq/se_same_liq))) estimates restore table2 nlcom same_rate: _b[ L.same_rate]+_b[ L2.same_rate]+_b[ L3.same_rate]+_b[ L4.same_rate], post gen beta_same_rate=_b[same_rate] gen se_same_rate=_se[same_rate] version 9: gen pv_same_rate=2*(1-norm(abs(beta_same_rate/se_same_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table2 nlcom intersame: _b[ inter1_same_country]+_b[ inter2_same_country]+_b[ inter3_same_country]+_b[ inter4_same_country], post gen intersame=_b[intersame] gen se_intersame=_se[intersame] version 9: gen pv_intersame=2*(1-norm(abs(intersame/se_intersame))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Source-Host Same Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, intersame, se_intersame, se_intersame, p-value_intersame, pv_intersame, Source-Host Same Dummy*?D Shadow Interest Rate {t-1 to t-4}, beta_same_rate, se_same_rate, se_same_rate, p-value_same_rate, pv_same_rate, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance for host=source, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset33.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*fx_liquidity_short gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) vce(gmm) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table2 nlcom intershadow: _b[ inter2_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter4_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table2 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************ use "\\XXYYZZ\dataset33.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows L(1/4).fx_liquidity_short if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset33.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq L(1/4).fx_liquidity_short if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) vce(gmm) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter2_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table2 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table2 nlcom intershadow: _b[ inter2_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table2 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE 3 set matsize 10000 *nonbank use "\\XXYYZZ\dataset2.dta", clear egen sector_time_id=group(sector_id time_id) sum fx_liquidity, detail local p75=r(p75) local p25=r(p25) ****************************************************** xi i.host_time_id i.source_id i.sector_id quietly xtabond flows L(1/4).nonbank_fx_liquidity nonbank_inter1-nonbank_inter4 L(1/4).bank_fx_liquidity bank_inter1-bank_inter4 nonbank_inter1-nonbank_inter4 bank_inter1-bank_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).nonbank_ssr_rate_change L(1/4).bank_ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).bank_short_long_ratio l(1/4).nonbank_short_long_ratio) gen Observations=e(N) estimates store table3 nlcom ecsig: (_b[nonbank_inter1]+_b[nonbank_inter2]+_b[nonbank_inter3]+_b[nonbank_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table3 nlcom sum_rate: _b[ L.nonbank_ssr_rate_change]+_b[ L2.nonbank_ssr_rate_change]+_b[ L3.nonbank_ssr_rate_change]+_b[ L4.nonbank_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table3 nlcom inter: _b[ nonbank_inter1]+_b[ nonbank_inter2]+_b[ nonbank_inter3]+_b[ nonbank_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table3 nlcom liq: _b[ L.nonbank_fx_liquidity]+_b[ L2.nonbank_fx_liquidity]+_b[ L3.nonbank_fx_liquidity]+_b[ L4.nonbank_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("nonbank","") nocons ****************************************************** use "\\XXYYZZ\dataset2.dta", clear gen same_liq=same_country*fx_liquidity gen same_rate=same_country*ssr_rate_change gen bank_inter1_rate_same_country=bank*l.ssr_rate_change*same_country gen bank_inter2_rate_same_country=bank*l2.ssr_rate_change*same_country gen bank_inter3_rate_same_country=bank*l3.ssr_rate_change*same_country gen bank_inter4_rate_same_country=bank*l4.ssr_rate_change*same_country gen bank_inter1_same_country=bank*bank_inter1*same_country gen bank_inter2_same_country=bank*bank_inter2*same_country gen bank_inter3_same_country=bank*bank_inter3*same_country gen bank_inter4_same_country=bank*bank_inter4*same_country gen bank_inter1_liq_same_country=bank*l.same_country*l.fx_liquidity gen bank_inter2_liq_same_country=bank*l2.same_country*l2.fx_liquidity gen bank_inter3_liq_same_country=bank*l3.same_country*l3.fx_liquidity gen bank_inter4_liq_same_country=bank*l4.same_country*l4.fx_liquidity gen nonbank_inter1_rate_same_country=nonbank*l.ssr_rate_change*same_country gen nonbank_inter2_rate_same_country=nonbank*l2.ssr_rate_change*same_country gen nonbank_inter3_rate_same_country=nonbank*l3.ssr_rate_change*same_country gen nonbank_inter4_rate_same_country=nonbank*l4.ssr_rate_change*same_country gen nonbank_inter1_same_country=nonbank*nonbank_inter1*same_country gen nonbank_inter2_same_country=nonbank*nonbank_inter2*same_country gen nonbank_inter3_same_country=nonbank*nonbank_inter3*same_country gen nonbank_inter4_same_country=nonbank*nonbank_inter4*same_country gen nonbank_inter1_liq_same_country=nonbank*l.same_country*l.fx_liquidity gen nonbank_inter2_liq_same_country=nonbank*l2.same_country*l2.fx_liquidity gen nonbank_inter3_liq_same_country=nonbank*l3.same_country*l3.fx_liquidity gen nonbank_inter4_liq_same_country=nonbank*l4.same_country*l4.fx_liquidity save, replace xi i.host_time_id i.source_id i.sector_id quietly xtabond flows bank_inter1_same_country - bank_inter4_same_country nonbank_inter1_same_country - nonbank_inter4_same_country *inter*_liq*country L(1/4).nonbank_fx_liquidity L(1/4).bank_fx_liquidity bank_inter1-bank_inter4 nonbank_inter1 - nonbank_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).nonbank_ssr_rate_change L(1/4).bank_ssr_rate_change _Ihost_time_id* *inter*rate*country L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).bank_short_long_ratio l(1/4).nonbank_short_long_ratio) gen Observations=e(N) estimates store table3 nlcom ecsig: (_b[nonbank_inter1]+_b[nonbank_inter2]+_b[nonbank_inter3]+_b[nonbank_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table3 nlcom ecsig_same: (_b[nonbank_inter1]+_b[nonbank_inter2]+_b[nonbank_inter3]+_b[nonbank_inter4]+_b[ nonbank_inter1_rate_same_country]+_b[ nonbank_inter2_rate_same_country]+_b[ nonbank_inter3_rate_same_country]+_b[nonbank_inter4_rate_same_country])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table3 nlcom sum_rate: _b[ L.nonbank_ssr_rate_change]+_b[ L2.nonbank_ssr_rate_change]+_b[ L3.nonbank_ssr_rate_change]+_b[ L4.nonbank_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table3 nlcom inter: _b[ nonbank_inter1]+_b[ nonbank_inter2]+_b[ nonbank_inter3]+_b[ nonbank_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table3 nlcom liq: _b[ L.nonbank_fx_liquidity]+_b[ L2.nonbank_fx_liquidity]+_b[ L3.nonbank_fx_liquidity]+_b[ L4.nonbank_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table3 nlcom intershadow: _b[ nonbank_inter1_rate_same_country]+_b[ nonbank_inter2_rate_same_country]+_b[ nonbank_inter3_rate_same_country]+_b[ nonbank_inter4_rate_same_country], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table3 nlcom triple: _b[ nonbank_inter1_same_country]+_b[ nonbank_inter2_same_country]+_b[ nonbank_inter3_same_country]+_b[ nonbank_inter4_same_country], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("nonbank","") nocons ****************************** use "\\XXYYZZ\dataset2.dta", clear egen sector_time_id=group(sector_id time_id) egen source_host_id=group(source_id host_id) xi i.host_time_id i.source_id i.sector_id quietly xtabond flows bank_inter1_same_country - bank_inter4_same_country nonbank_inter1_same_country - nonbank_inter4_same_country *inter*_liq*country L(1/4).nonbank_fx_liquidity L(1/4).bank_fx_liquidity bank_inter1-bank_inter4 nonbank_inter1 - nonbank_inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).nonbank_ssr_rate_change L(1/4).bank_ssr_rate_change _Ihost_time_id* *inter*rate*country L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).bank_short_long_ratio l(1/4).nonbank_short_long_ratio) gen Observations=e(N) estimates store table3 nlcom ecsig: (_b[nonbank_inter1]+_b[nonbank_inter2]+_b[nonbank_inter3]+_b[nonbank_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table3 nlcom ecsig_same: (_b[nonbank_inter1]+_b[nonbank_inter2]+_b[nonbank_inter3]+_b[nonbank_inter4]+_b[ nonbank_inter1_rate_same_curr_t]+_b[ nonbank_inter2_rate_same_curr_t]+_b[ nonbank_inter3_rate_same_curr_t]+_b[nonbank_inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table3 nlcom sum_rate: _b[ L.nonbank_ssr_rate_change]+_b[ L3.nonbank_ssr_rate_change]+_b[ L4.nonbank_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table3 nlcom inter: _b[ nonbank_inter1]+_b[ nonbank_inter2]+_b[ nonbank_inter3]+_b[ nonbank_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table3 nlcom liq: _b[ L.nonbank_fx_liquidity]+_b[ L2.nonbank_fx_liquidity]+_b[ L3.nonbank_fx_liquidity]+_b[ L4.nonbank_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table3 nlcom intershadow: _b[ nonbank_inter1_rate_same_curr_t]+_b[ nonbank_inter2_rate_same_curr_t]+_b[ nonbank_inter3_rate_same_curr_t]+_b[ nonbank_inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table3 nlcom triple: _b[ nonbank_inter1_same_curr_t]+_b[ nonbank_inter2_same_curr_t]+_b[ nonbank_inter3_same_curr_t]+_b[ nonbank_inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 3", addstat( ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("nonbank","") nocons *************************************** *bank use "\\XXYYZZ\dataset2.dta", clear egen source_time_id=group(source_id time_id) xi i.host_time_id i.source_id i.sector_id quietly xtabond flows L(1/4).nonbank_fx_liquidity nonbank_inter1-nonbank_inter4 L(1/4).bank_fx_liquidity bank_inter1-bank_inter4 nonbank_inter1-nonbank_inter4 bank_inter1-bank_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).nonbank_ssr_rate_change L(1/4).bank_ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).bank_short_long_ratio l(1/4).nonbank_short_long_ratio) gen Observations=e(N) estimates store table3 nlcom ecsig: (_b[bank_inter1]+_b[bank_inter2]+_b[bank_inter3]+_b[bank_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table3 nlcom sum_rate: _b[ L.bank_ssr_rate_change]+_b[ L2.bank_ssr_rate_change]+_b[ L3.bank_ssr_rate_change]+_b[ L4.bank_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table3 nlcom inter: _b[ bank_inter1]+_b[ bank_inter2]+_b[ bank_inter3]+_b[ bank_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table3 nlcom liq: _b[ L.bank_fx_liquidity]+_b[ L2.bank_fx_liquidity]+_b[ L3.bank_fx_liquidity]+_b[ L4.bank_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) addtext(Source Country Macro Controls, Yes, Four lags of Dependent Variable, Yes, Source Country Fixed Effects, Inst, sector-Time Fixed Effects, Inst) excel append noobs ctitle("bank","") nocons ****************************************************** use "\\XXYYZZ\dataset2.dta", clear xi i.host_time_id i.source_id i.sector_id quietly xtabond flows bank_inter1_same_country - bank_inter4_same_country nonbank_inter1_same_country - nonbank_inter4_same_country *inter*_liq*country L(1/4).nonbank_fx_liquidity L(1/4).bank_fx_liquidity bank_inter1-bank_inter4 nonbank_inter1 - nonbank_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).nonbank_ssr_rate_change L(1/4).bank_ssr_rate_change _Ihost_time_id* *inter*rate*country L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).bank_short_long_ratio l(1/4).nonbank_short_long_ratio) gen Observations=e(N) estimates store table3 nlcom ecsig: (_b[bank_inter1]+_b[bank_inter2]+_b[bank_inter3]+_b[bank_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table3 nlcom ecsig_same: (_b[bank_inter1]+_b[bank_inter2]+_b[bank_inter3]+_b[bank_inter4]+_b[ bank_inter1_rate_same_country]+_b[ bank_inter2_rate_same_country]+_b[ bank_inter3_rate_same_country]+_b[bank_inter4_rate_same_country])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table3 nlcom sum_rate: _b[ L.bank_ssr_rate_change]+_b[ L2.bank_ssr_rate_change]+_b[ L3.bank_ssr_rate_change]+_b[ L4.bank_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table3 nlcom inter: _b[ bank_inter1]+_b[ bank_inter2]+_b[ bank_inter3]+_b[ bank_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table3 nlcom liq: _b[ L.bank_fx_liquidity]+_b[ L2.bank_fx_liquidity]+_b[ L3.bank_fx_liquidity]+_b[ L4.bank_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table3 nlcom intershadow: _b[ bank_inter1_rate_same_country]+_b[ bank_inter2_rate_same_country]+_b[ bank_inter3_rate_same_country]+_b[ bank_inter4_rate_same_country], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table3 nlcom triple: _b[ bank_inter1_same_country]+_b[ bank_inter2_same_country]+_b[ bank_inter3_same_country]+_b[ bank_inter4_same_country], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("bank","") nocons ****************************** use "\\XXYYZZ\dataset2.dta", clear egen sector_time_id=group(sector_id time_id) egen source_time_id=group(source_id time_id) egen source_host_id=group(source_id host_id) xi i.host_time_id i.source_id i.sector_id quietly xtabond flows bank_inter1_same_country - bank_inter4_same_country nonbank_inter1_same_country - nonbank_inter4_same_country *inter*_liq*country L(1/4).nonbank_fx_liquidity L(1/4).bank_fx_liquidity bank_inter1-bank_inter4 nonbank_inter1 - nonbank_inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).nonbank_ssr_rate_change L(1/4).bank_ssr_rate_change _Ihost_time_id* *inter*rate*country L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).bank_short_long_ratio l(1/4).nonbank_short_long_ratio) gen Observations=e(N) estimates store table3 nlcom ecsig: (_b[bank_inter1]+_b[bank_inter2]+_b[bank_inter3]+_b[bank_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table3 nlcom ecsig_same: (_b[bank_inter1]+_b[bank_inter2]+_b[bank_inter3]+_b[bank_inter4]+_b[ bank_inter1_rate_same_curr_t]+_b[ bank_inter2_rate_same_curr_t]+_b[ bank_inter3_rate_same_curr_t]+_b[bank_inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table3 nlcom sum_rate: _b[ L.bank_ssr_rate_change]+_b[ L3.bank_ssr_rate_change]+_b[ L4.bank_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table3 nlcom inter: _b[ bank_inter1]+_b[ bank_inter2]+_b[ bank_inter3]+_b[ bank_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table3 nlcom liq: _b[ L.bank_fx_liquidity]+_b[ L2.bank_fx_liquidity]+_b[ L3.bank_fx_liquidity]+_b[ L4.bank_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table3 nlcom intershadow: _b[ bank_inter1_rate_same_curr_t]+_b[ bank_inter2_rate_same_curr_t]+_b[ bank_inter3_rate_same_curr_t]+_b[ bank_inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table3 nlcom triple: _b[ bank_inter1_same_curr_t]+_b[ bank_inter2_same_curr_t]+_b[ bank_inter3_same_curr_t]+_b[ bank_inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 3", addstat( ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("bank","") nocons ****************************** *TABLE 4 use "\\XXYYZZ\dataset33.dta", clear sum fx_liquidity, detail local p75=r(p75) local p25=r(p25) ************************************************************ xi i.host_time_id i.source_id quietly xtabond nonbank_flows L(1/4).fx_liquidity inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table4 nlcom liq: _b[ L.fx_liquidity]+_b[ L2.fx_liquidity]+_b[ L3.fx_liquidity]+_b[ L4.fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("nonbank sector","") nocons ************************************************************************************ use "\\XXYYZZ\dataset33.dta", clear gen same_liq=same_country*fx_liquidity gen same_rate=same_country*ssr_rate_change gen inter1_same_country=inter1*same_country gen inter2_same_country=inter2*same_country gen inter3_same_country=inter3*same_country gen inter4_same_country=inter4*same_country xi i.host_time_id i.source_id quietly xtabond nonbank_flows l(1/4).same_rate L(1/4).fx_liquidity inter*country inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table4 nlcom same_rate: _b[ L.same_rate]+_b[ L2.same_rate]+_b[ L3.same_rate]+_b[ L4.same_rate], post gen beta_same_rate=_b[same_rate] gen se_same_rate=_se[same_rate] version 9: gen pv_same_rate=2*(1-norm(abs(beta_same_rate/se_same_rate))) estimates restore table4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table4 nlcom liq: _b[ L.fx_liquidity]+_b[ L2.fx_liquidity]+_b[ L3.fx_liquidity]+_b[ L4.fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table4 nlcom intersame: _b[ inter1_same_country]+_b[ inter2_same_country]+_b[ inter3_same_country]+_b[ inter4_same_country], post gen intersame=_b[intersame] gen se_intersame=_se[intersame] version 9: gen pv_intersame=2*(1-norm(abs(intersame/se_intersame))) outreg2 using "\\XXYYZZ\Table 4", addstat(Source-Host Same Dummy*?D Shadow Interest Rate {t-1 to t-4}, beta_same_rate, se_same_rate, se_same_rate, p-value_same_rate, pv_same_rate, ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Source-Host Same Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, intersame, se_intersame, se_intersame, p-value_intersame, pv_intersame, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("nonbank","") nocons ******************************************************************************************* use "\\XXYYZZ\dataset33.dta", clear xi i.host_time_id i.source_id quietly xtabond nonbank_flows L(1/4).fx_liquidity inter*_t inter1-inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table4 nlcom liq: _b[ L.fx_liquidity]+_b[ L2.fx_liquidity]+_b[ L3.fx_liquidity]+_b[ L4.fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table4 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table4 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("nonbank","") nocons ********************************************************************** *bank use "\\XXYYZZ\dataset33.dta", clear sum fx_liquidity, detail local p75=r(p75) local p25=r(p25) xi i.host_time_id i.source_id quietly xtabond bank_flows L(1/4).fx_liquidity inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table4 nlcom liq: _b[ L.fx_liquidity]+_b[ L2.fx_liquidity]+_b[ L3.fx_liquidity]+_b[ L4.fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("bank sector","") nocons ************************************************************************************ use "\\XXYYZZ\dataset33.dta", clear gen same_liq=same_country*fx_liquidity gen same_rate=same_country*ssr_rate_change gen inter1_same_country=inter1*same_country gen inter2_same_country=inter2*same_country gen inter3_same_country=inter3*same_country gen inter4_same_country=inter4*same_country xi i.host_time_id i.source_id quietly xtabond bank_flows l(1/4).same_rate L(1/4).fx_liquidity inter*country inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table4 nlcom same_rate: _b[ L.same_rate]+_b[ L2.same_rate]+_b[ L3.same_rate]+_b[ L4.same_rate], post gen beta_same_rate=_b[same_rate] gen se_same_rate=_se[same_rate] version 9: gen pv_same_rate=2*(1-norm(abs(beta_same_rate/se_same_rate))) estimates restore table4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table4 nlcom liq: _b[ L.fx_liquidity]+_b[ L2.fx_liquidity]+_b[ L3.fx_liquidity]+_b[ L4.fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table4 nlcom intersame: _b[ inter1_same_country]+_b[ inter2_same_country]+_b[ inter3_same_country]+_b[ inter4_same_country], post gen intersame=_b[intersame] gen se_intersame=_se[intersame] version 9: gen pv_intersame=2*(1-norm(abs(intersame/se_intersame))) outreg2 using "\\XXYYZZ\Table 4", addstat(Source-Host Same Dummy*?D Shadow Interest Rate {t-1 to t-4}, beta_same_rate, se_same_rate, se_same_rate, p-value_same_rate, pv_same_rate, ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Source-Host Same Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, intersame, se_intersame, se_intersame, p-value_intersame, pv_intersame, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("bank","") nocons ******************************************************************************************* use "\\XXYYZZ\dataset33.dta", clear xi i.host_time_id i.source_id quietly xtabond bank_flows L(1/4).fx_liquidity inter*_t inter1-inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table4 nlcom liq: _b[ L.fx_liquidity]+_b[ L2.fx_liquidity]+_b[ L3.fx_liquidity]+_b[ L4.fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table4 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table4 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("bank","") nocons ******************************************** *TABLE 5 set matsize 10000 ****************************************************** *usd use "\\XXYYZZ\dataset3.dta", clear xi i.host_time_id i.source_id quietly xtabond nonbank_flows eur_inter1-eur_inter4 L(1/4).usd_fx_liquidity usd_inter1-usd_inter4 L(1/4).jpy_fx_liquidity jpy_inter1-jpy_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eur_fx_liquidity L(1/4).eur_rate_change_source L(1/4).usd_rate_change_source L(1/4).jpy_rate_change_source L(1/4).eur_ssr_rate_change L(1/4).usd_ssr_rate_change L(1/4).jpy_ssr_rate_change _Ihost_time_id* L(1/4).usd_gdp_growth_source L(1/4).eur_gdp_growth_source L(1/4).jpy_gdp_growth_source) inst(l(1/4).eur_short_long_ratio l(1/4).usd_short_long_ratio l(1/4).jpy_short_long_ratio) nocons gen Observations=e(N) estimates store table5 nlcom ecsig: (_b[usd_inter1]+_b[usd_inter2]+_b[usd_inter3]+_b[usd_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table5 nlcom sum_rate: _b[ L.usd_ssr_rate_change]+_b[ L2.usd_ssr_rate_change]+_b[ L3.usd_ssr_rate_change]+_b[ L4.usd_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table5 nlcom inter: _b[ usd_inter1]+_b[ usd_inter2]+_b[ usd_inter3]+_b[ usd_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table5 nlcom liq: _b[ L.usd_fx_liquidity]+_b[ L2.usd_fx_liquidity]+_b[ L3.usd_fx_liquidity]+_b[ L4.usd_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("USD","") nocons ****************************************************** use "\\XXYYZZ\dataset3.dta", clear egen currency_time_id=group(currency time_id) xi i.host_time_id i.source_id quietly xtabond nonbank_flows_orig *_inter*same_curr_t eur_inter1-eur_inter4 L(1/4).usd_fx_liquidity usd_inter1-usd_inter4 L(1/4).jpy_fx_liquidity jpy_inter1-jpy_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eur_fx_liquidity L(1/4).eur_rate_change_source L(1/4).usd_rate_change_source L(1/4).jpy_rate_change_source L(1/4).eur_ssr_rate_change L(1/4).usd_ssr_rate_change L(1/4).jpy_ssr_rate_change *_inten*_t _Ihost_time_id* L(1/4).usd_gdp_growth_source L(1/4).eur_gdp_growth_source L(1/4).jpy_gdp_growth_source) inst(l(1/4).eur_short_long_ratio l(1/4).usd_short_long_ratio l(1/4).jpy_short_long_ratio) nocons gen Observations=e(N) estimates store table5 nlcom ecsig: (_b[usd_inter1]+_b[usd_inter2]+_b[usd_inter3]+_b[usd_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table5 nlcom ecsig_same: (_b[usd_inter1]+_b[usd_inter2]+_b[usd_inter3]+_b[usd_inter4]+_b[ usd_inten1_rate_same_curr_t]+_b[ usd_inten2_rate_same_curr_t]+_b[ usd_inten3_rate_same_curr_t]+_b[usd_inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table5 nlcom sum_rate: _b[ L.usd_ssr_rate_change]+_b[ L2.usd_ssr_rate_change]+_b[ L3.usd_ssr_rate_change]+_b[ L4.usd_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table5 nlcom inter: _b[ usd_inter1]+_b[ usd_inter2]+_b[ usd_inter3]+_b[ usd_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table5 nlcom liq: _b[ L.usd_fx_liquidity]+_b[ L2.usd_fx_liquidity]+_b[ L3.usd_fx_liquidity]+_b[ L4.usd_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table5 nlcom intershadow: _b[ usd_inten1_rate_same_curr_t]+_b[ usd_inten2_rate_same_curr_t]+_b[ usd_inten3_rate_same_curr_t]+_b[ usd_inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table5 nlcom triple: _b[ usd_inten1_same_curr_t]+_b[ usd_inten2_same_curr_t]+_b[ usd_inten3_same_curr_t]+_b[ usd_inten4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("USD","") nocons ********************************************** *EUR use "\\XXYYZZ\dataset3.dta", clear xi i.host_time_id i.source_id quietly xtabond nonbank_flows eur_inter1-eur_inter4 L(1/4).usd_fx_liquidity usd_inter1-usd_inter4 L(1/4).jpy_fx_liquidity jpy_inter1-jpy_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eur_fx_liquidity L(1/4).eur_rate_change_source L(1/4).usd_rate_change_source L(1/4).jpy_rate_change_source L(1/4).eur_ssr_rate_change L(1/4).usd_ssr_rate_change L(1/4).jpy_ssr_rate_change _Ihost_time_id* L(1/4).usd_gdp_growth_source L(1/4).eur_gdp_growth_source L(1/4).jpy_gdp_growth_source) inst(l(1/4).eur_short_long_ratio l(1/4).usd_short_long_ratio l(1/4).jpy_short_long_ratio) nocons gen Observations=e(N) estimates store table5 nlcom ecsig: (_b[eur_inter1]+_b[eur_inter2]+_b[eur_inter3]+_b[eur_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table5 nlcom sum_rate: _b[ L.eur_ssr_rate_change]+_b[ L2.eur_ssr_rate_change]+_b[ L3.eur_ssr_rate_change]+_b[ L4.eur_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table5 nlcom inter: _b[ eur_inter1]+_b[ eur_inter2]+_b[ eur_inter3]+_b[ eur_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table5 nlcom liq: _b[ L.eur_fx_liquidity]+_b[ L2.eur_fx_liquidity]+_b[ L3.eur_fx_liquidity]+_b[ L4.eur_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","") nocons ****************************************************** use "\\XXYYZZ\dataset3.dta", clear egen currency_time_id=group(currency time_id) xi i.host_time_id i.source_id quietly xtabond nonbank_flows_orig *_inter*same_curr_t eur_inter1-eur_inter4 L(1/4).usd_fx_liquidity usd_inter1-usd_inter4 L(1/4).jpy_fx_liquidity jpy_inter1-jpy_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eur_fx_liquidity L(1/4).eur_rate_change_source L(1/4).usd_rate_change_source L(1/4).jpy_rate_change_source L(1/4).eur_ssr_rate_change L(1/4).usd_ssr_rate_change L(1/4).jpy_ssr_rate_change *_inten*_t _Ihost_time_id* L(1/4).usd_gdp_growth_source L(1/4).eur_gdp_growth_source L(1/4).jpy_gdp_growth_source) inst(l(1/4).eur_short_long_ratio l(1/4).usd_short_long_ratio l(1/4).jpy_short_long_ratio) nocons gen Observations=e(N) estimates store table5 nlcom ecsig: (_b[eur_inter1]+_b[eur_inter2]+_b[eur_inter3]+_b[eur_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table5 nlcom ecsig_same: (_b[eur_inter1]+_b[eur_inter2]+_b[eur_inter3]+_b[eur_inter4]+_b[ eur_inten1_rate_same_curr_t]+_b[ eur_inten2_rate_same_curr_t]+_b[ eur_inten3_rate_same_curr_t]+_b[eur_inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table5 nlcom sum_rate: _b[ L.eur_ssr_rate_change]+_b[ L2.eur_ssr_rate_change]+_b[ L3.eur_ssr_rate_change]+_b[ L4.eur_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table5 nlcom inter: _b[ eur_inter1]+_b[ eur_inter2]+_b[ eur_inter3]+_b[ eur_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table5 nlcom liq: _b[ L.eur_fx_liquidity]+_b[ L2.eur_fx_liquidity]+_b[ L3.eur_fx_liquidity]+_b[ L4.eur_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table5 nlcom intershadow: _b[ eur_inten1_rate_same_curr_t]+_b[ eur_inten2_rate_same_curr_t]+_b[ eur_inten3_rate_same_curr_t]+_b[ eur_inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table5 nlcom triple: _b[ eur_inten1_same_curr_t]+_b[ eur_inten2_same_curr_t]+_b[ eur_inten3_same_curr_t]+_b[ eur_inten4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("eur","") nocons *************************************** *JPY use "\\XXYYZZ\dataset3.dta", clear xi i.host_time_id i.source_id quietly xtabond nonbank_flows eur_inter1-eur_inter4 L(1/4).usd_fx_liquidity usd_inter1-usd_inter4 L(1/4).jpy_fx_liquidity jpy_inter1-jpy_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eur_fx_liquidity L(1/4).eur_rate_change_source L(1/4).usd_rate_change_source L(1/4).jpy_rate_change_source L(1/4).eur_ssr_rate_change L(1/4).usd_ssr_rate_change L(1/4).jpy_ssr_rate_change _Ihost_time_id* L(1/4).usd_gdp_growth_source L(1/4).eur_gdp_growth_source L(1/4).jpy_gdp_growth_source) inst(l(1/4).eur_short_long_ratio l(1/4).usd_short_long_ratio l(1/4).jpy_short_long_ratio) nocons gen Observations=e(N) estimates store table5 nlcom ecsig: (_b[jpy_inter1]+_b[jpy_inter2]+_b[jpy_inter3]+_b[jpy_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table5 nlcom sum_rate: _b[ L.jpy_ssr_rate_change]+_b[ L2.jpy_ssr_rate_change]+_b[ L3.jpy_ssr_rate_change]+_b[ L4.jpy_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table5 nlcom inter: _b[ jpy_inter1]+_b[ jpy_inter2]+_b[ jpy_inter3]+_b[ jpy_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table5 nlcom liq: _b[ L.jpy_fx_liquidity]+_b[ L2.jpy_fx_liquidity]+_b[ L3.jpy_fx_liquidity]+_b[ L4.jpy_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("jpy","") nocons ****************************************************** use "\\XXYYZZ\dataset3.dta", clear egen currency_time_id=group(currency time_id) xi i.host_time_id i.source_id quietly xtabond nonbank_flows_orig *_inter*same_curr_t eur_inter1-eur_inter4 L(1/4).usd_fx_liquidity usd_inter1-usd_inter4 L(1/4).jpy_fx_liquidity jpy_inter1-jpy_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eur_fx_liquidity L(1/4).eur_rate_change_source L(1/4).usd_rate_change_source L(1/4).jpy_rate_change_source L(1/4).eur_ssr_rate_change L(1/4).usd_ssr_rate_change L(1/4).jpy_ssr_rate_change *_inten*_t _Ihost_time_id* L(1/4).usd_gdp_growth_source L(1/4).eur_gdp_growth_source L(1/4).jpy_gdp_growth_source) inst(l(1/4).eur_short_long_ratio l(1/4).usd_short_long_ratio l(1/4).jpy_short_long_ratio) nocons gen Observations=e(N) estimates store table5 nlcom ecsig: (_b[jpy_inter1]+_b[jpy_inter2]+_b[jpy_inter3]+_b[jpy_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table5 nlcom ecsig_same: (_b[jpy_inter1]+_b[jpy_inter2]+_b[jpy_inter3]+_b[jpy_inter4]+_b[ jpy_inten1_rate_same_curr_t]+_b[ jpy_inten2_rate_same_curr_t]+_b[ jpy_inten3_rate_same_curr_t]+_b[jpy_inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table5 nlcom sum_rate: _b[ L.jpy_ssr_rate_change]+_b[ L2.jpy_ssr_rate_change]+_b[ L3.jpy_ssr_rate_change]+_b[ L4.jpy_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table5 nlcom inter: _b[ jpy_inter1]+_b[ jpy_inter2]+_b[ jpy_inter3]+_b[ jpy_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table5 nlcom liq: _b[ L.jpy_fx_liquidity]+_b[ L2.jpy_fx_liquidity]+_b[ L3.jpy_fx_liquidity]+_b[ L4.jpy_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table5 nlcom intershadow: _b[ jpy_inten1_rate_same_curr_t]+_b[ jpy_inten2_rate_same_curr_t]+_b[ jpy_inten3_rate_same_curr_t]+_b[ jpy_inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table5 nlcom triple: _b[ jpy_inten1_same_curr_t]+_b[ jpy_inten2_same_curr_t]+_b[ jpy_inten3_same_curr_t]+_b[ jpy_inten4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("jpy","") nocons *************************** *TABLE 6 set matsize 10000 use "\\XXYYZZ\dataset10.dta", clear *USD xi i.source_id i.time_id quietly xtabond nonbank_flows L(1/4).fx_liquidity inter1-inter4 if same_country==0 & usd==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store table6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 6", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("USD","") nocons ********************************************************** use "\\XXYYZZ\dataset10.dta", clear xi i.host_time_id i.source_id i.time_id quietly xtabond nonbank_flows inter1-inter4 inter*_t L(1/4).fx_liquidity_short inter1-inter4 inten*_t if same_country==0 & usd==1, lags(4) maxldep(4) maxlags(4) diff( _Ihost_time_id* Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(L(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store table6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table6 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inten1_rate_same_curr_t]+_b[ inten2_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table6 nlcom intershadow: _b[ inten1_rate_same_curr_t]+_b[ inten2_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table6 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 6", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("USD","") nocons ********************************************************** *eur use "\\XXYYZZ\dataset10.dta", clear xi i.source_id i.time_id quietly xtabond nonbank_flows L(1/4).fx_liquidity inter1-inter4 if same_country==0 & eur==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store table6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 6", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","") nocons ********************************************************** use "\\XXYYZZ\dataset10.dta", clear xi i.host_time_id i.source_id i.time_id quietly xtabond nonbank_flows inter1-inter4 inter*_t L(1/4).fx_liquidity_short inter1-inter4 inten*_t if same_country==0 & eur==1, lags(4) maxldep(4) maxlags(4) diff( _Ihost_time_id* Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(L(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store table6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table6 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inten1_rate_same_curr_t]+_b[ inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table6 nlcom intershadow: _b[ inten1_rate_same_curr_t]+_b[ inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table6 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 6", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","") nocons ********************************************************** *jpy use "\\XXYYZZ\dataset10.dta", clear xi i.source_id i.time_id quietly xtabond nonbank_flows L(1/4).fx_liquidity inter1-inter4 if same_country==0 & jpy==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store table6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 6", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("jpy","") nocons ********************************************************** use "\\XXYYZZ\dataset10.dta", clear xi i.host_time_id i.time_id quietly xtabond nonbank_flows inter1-inter4 inter*_t L(1/4).fx_liquidity_short inter1-inter4 inten*_t if same_country==0 & jpy==1, lags(4) maxldep(4) maxlags(4) diff( _Ihost_time_id* Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(L(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store table6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table6 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inten2_rate_same_curr_t]+_b[ inten3_rate_same_curr_t]+_b[ inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table6 nlcom intershadow: _b[ inten2_rate_same_curr_t]+_b[ inten3_rate_same_curr_t]+_b[ inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table6 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 6", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("jpy","") nocons ********************************************************** *TABLE 7 set matsize 10000 use "\\XXYYZZ\dataset4.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id quietly xtabond flows L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("All","") nocons ******************************************************************************* use "\\XXYYZZ\dataset4.dta", clear xi i.time_id i.source_id quietly xtabond flows L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons *************************************************************************************************** use "\\XXYYZZ\dataset4.dta", clear xi i.host_time_id i.source_id quietly xtabond flows L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ************************************************************************************************** use "\\XXYYZZ\dataset4.dta", clear gen same_liq=same_country*fx_liquidity_short gen same_rate=same_country*ssr_rate_change drop inter*sa* gen inter1_same_country=inter1*same_country gen inter2_same_country=inter2*same_country gen inter3_same_country=inter3*same_country gen inter4_same_country=inter4*same_country xi i.host_time_id i.source_id quietly xtabond flows l(1/4).same_liq l(1/4).same_rate inter1_same - inter4_same L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_same_country]+_b[ inter2_same_country]+_b[ inter3_same_country]+_b[ inter4_same_country])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom same_liq: _b[ L.same_liq]+_b[ L2.same_liq]+_b[ L3.same_liq]+_b[ L4.same_liq], post gen beta_same_liq=_b[same_liq] gen se_same_liq=_se[same_liq] version 9: gen pv_same_liq=2*(1-norm(abs(beta_same_liq/se_same_liq))) estimates restore table7 nlcom same_rate: _b[ L.same_rate]+_b[ L2.same_rate]+_b[ L3.same_rate]+_b[ L4.same_rate], post gen beta_same_rate=_b[same_rate] gen se_same_rate=_se[same_rate] version 9: gen pv_same_rate=2*(1-norm(abs(beta_same_rate/se_same_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table7 nlcom intersame: _b[ inter1_same_country]+_b[ inter2_same_country]+_b[ inter3_same_country]+_b[ inter4_same_country], post gen intersame=_b[intersame] gen se_intersame=_se[intersame] version 9: gen pv_intersame=2*(1-norm(abs(intersame/se_intersame))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Source-Host Same Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, intersame, se_intersame, se_intersame, p-value_intersame, pv_intersame, Source-Host Same Dummy*?D Shadow Interest Rate {t-1 to t-4}, beta_same_rate, se_same_rate, se_same_rate, p-value_same_rate, pv_same_rate, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance for host=source, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset4.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*fx_liquidity_short gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).fx_liquidity_short, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************ use "\\XXYYZZ\dataset4.dta", clear xi i.host_time_id i.source_id quietly xtabond flows L(1/4).fx_liquidity_short if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset4.dta", clear xi i.host_time_id i.source_id quietly xtabond flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).fx_liquidity_short if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store table7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore table7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore table7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore table7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore table7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore table7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore table7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table 7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) addtext(Source Country Fixed Effects, No, Time Fixed Effects, --, Source and Host Country Macro Controls, Yes, Host Country - Time Fixed Effects, Yes , Four lags of Dependent Variable, Yes, Host Country Fixed Effects, --) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *APPENDIX TABLES *TABLE A1 *///THERE IS NO CODE FOR THIS TABLE - IT IS A DESCRIPTIVE LISTING OF THE LARGEST BORROWERS AND LENDERS BY NATIONALITY IN Q4 2018 ********************************************************************** *TABLE A2 *Deposits to loans ratio set matsize 10000 use "\\XXYYZZ\dataset11.dta", clear sum dep_loan_ratio, detail local pdp75=r(p75) local pdp25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).dep_loan_ratio inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea2 nlcom liq: _b[ L.dep_loan_ratio]+_b[ L2.dep_loan_ratio]+_b[ L3.dep_loan_ratio]+_b[ L4.dep_loan_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset11.dta" gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*dep_loan_ratio gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).dep_loan_ratio inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea2 nlcom liq: _b[ L.dep_loan_ratio]+_b[ L2.dep_loan_ratio]+_b[ L3.dep_loan_ratio]+_b[ L4.dep_loan_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea2 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea2 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset11.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).dep_loan_ratio inter1-inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea2 nlcom liq: _b[ L.dep_loan_ratio]+_b[ L2.dep_loan_ratio]+_b[ L3.dep_loan_ratio]+_b[ L4.dep_loan_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea2 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea2 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *FX debt securities to assets ratio use "\\XXYYZZ\dataset49.dta", clear sum debt_sec_fx_ratio, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).debt_sec_fx_ratio inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea2 nlcom liq: _b[ L.debt_sec_fx_ratio]+_b[ L2.debt_sec_fx_ratio]+_b[ L3.debt_sec_fx_ratio]+_b[ L4.debt_sec_fx_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset49.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*debt_sec_fx_ratio gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).debt_sec_fx_ratio , lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea2 nlcom liq: _b[ L.debt_sec_fx_ratio]+_b[ L2.debt_sec_fx_ratio]+_b[ L3.debt_sec_fx_ratio]+_b[ L4.debt_sec_fx_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea2 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea2 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset49.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).debt_sec_fx_ratio if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id*) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea2 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea2 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea2 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea2 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea2 nlcom liq: _b[ L.debt_sec_fx_ratio]+_b[ L2.debt_sec_fx_ratio]+_b[ L3.debt_sec_fx_ratio]+_b[ L4.debt_sec_fx_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea2 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea2 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A2", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A3 *securities turnover ratio set matsize 10000 use "\\XXYYZZ\dataset19.dta", clear sum sec_turnover, detail local pdp75=r(p75) local pdp25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).sec_turnover inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea3 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea3 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea3 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea3 nlcom liq: _b[ L.sec_turnover]+_b[ L2.sec_turnover]+_b[ L3.sec_turnover]+_b[ L4.sec_turnover], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset19.dta" gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*sec_turnover gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).sec_turnover inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea3 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea3 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea3 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea3 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea3 nlcom liq: _b[ L.sec_turnover]+_b[ L2.sec_turnover]+_b[ L3.sec_turnover]+_b[ L4.sec_turnover], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea3 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea3 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset19.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).sec_turnover inter1-inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea3 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea3 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea3 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea3 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea3 nlcom liq: _b[ L.sec_turnover]+_b[ L2.sec_turnover]+_b[ L3.sec_turnover]+_b[ L4.sec_turnover], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea3 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea3 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *Securities bid-ask spread use "\\XXYYZZ\dataset14.dta", clear sum bid_ask, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).bid_ask inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea3 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea3 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea3 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea3 nlcom liq: _b[ L.bid_ask]+_b[ L2.bid_ask]+_b[ L3.bid_ask]+_b[ L4.bid_ask], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset14.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*bid_ask gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).bid_ask , lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea3 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea3 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea3 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea3 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea3 nlcom liq: _b[ L.bid_ask]+_b[ L2.bid_ask]+_b[ L3.bid_ask]+_b[ L4.bid_ask], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea3 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea3 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset14.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).bid_ask if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id*) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea3 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea3 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea3 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea3 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea3 nlcom liq: _b[ L.bid_ask]+_b[ L2.bid_ask]+_b[ L3.bid_ask]+_b[ L4.bid_ask], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea3 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea3 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A3", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A4 *total capital to assets ratio set matsize 10000 use "\\XXYYZZ\dataset40.dta", clear sum capital_ratio_fsi, detail local pdp75=r(p75) local pdp25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).capital_ratio_fsi inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea4 nlcom liq: _b[ L.capital_ratio_fsi]+_b[ L2.capital_ratio_fsi]+_b[ L3.capital_ratio_fsi]+_b[ L4.capital_ratio_fsi], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset40.dta" gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*capital_ratio_fsi gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).capital_ratio_fsi inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea4 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea4 nlcom liq: _b[ L.capital_ratio_fsi]+_b[ L2.capital_ratio_fsi]+_b[ L3.capital_ratio_fsi]+_b[ L4.capital_ratio_fsi], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea4 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea4 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset40.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).capital_ratio_fsi inter1-inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea4 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea4 nlcom liq: _b[ L.capital_ratio_fsi]+_b[ L2.capital_ratio_fsi]+_b[ L3.capital_ratio_fsi]+_b[ L4.capital_ratio_fsi], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea4 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea4 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *tier 1 capital to assets ratio use "\\XXYYZZ\dataset7.dta", clear sum tier1_cap_ratio, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).tier1_cap_ratio inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea4 nlcom liq: _b[ L.tier1_cap_ratio]+_b[ L2.tier1_cap_ratio]+_b[ L3.tier1_cap_ratio]+_b[ L4.tier1_cap_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset7.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*tier1_cap_ratio gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).tier1_cap_ratio , lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea4 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea4 nlcom liq: _b[ L.tier1_cap_ratio]+_b[ L2.tier1_cap_ratio]+_b[ L3.tier1_cap_ratio]+_b[ L4.tier1_cap_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea4 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea4 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset7.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).tier1_cap_ratio if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id*) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea4 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea4 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea4 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea4 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea4 nlcom liq: _b[ L.tier1_cap_ratio]+_b[ L2.tier1_cap_ratio]+_b[ L3.tier1_cap_ratio]+_b[ L4.tier1_cap_ratio], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea4 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea4 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A4", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A5 *10-to-2-year sovereign yield spread set matsize 10000 use "\\XXYYZZ\dataset15.dta", clear sum yield_spread_change, detail local pdp75=r(p75) local pdp25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).yield_spread_change inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea5 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea5 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea5 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea5 nlcom liq: _b[ L.yield_spread_change]+_b[ L2.yield_spread_change]+_b[ L3.yield_spread_change]+_b[ L4.yield_spread_change], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset15.dta" gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*yield_spread_change gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).yield_spread_change inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea5 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea5 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea5 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea5 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea5 nlcom liq: _b[ L.yield_spread_change]+_b[ L2.yield_spread_change]+_b[ L3.yield_spread_change]+_b[ L4.yield_spread_change], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea5 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea5 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset15.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).yield_spread_change inter1-inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea5 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`pdp75'-`pdp25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea5 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`pdp75'-`pdp25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea5 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea5 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea5 nlcom liq: _b[ L.yield_spread_change]+_b[ L2.yield_spread_change]+_b[ L3.yield_spread_change]+_b[ L4.yield_spread_change], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea5 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea5 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *banking system measured funding cost use "\\XXYYZZ\dataset42.dta", clear sum cost_change, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).cost_change inter1-inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea5 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea5 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea5 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea5 nlcom liq: _b[ L.cost_change]+_b[ L2.cost_change]+_b[ L3.cost_change]+_b[ L4.cost_change], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset42.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*cost_change gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).cost_change , lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea5 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea5 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea5 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea5 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea5 nlcom liq: _b[ L.cost_change]+_b[ L2.cost_change]+_b[ L3.cost_change]+_b[ L4.cost_change], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea5 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea5 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ************************************************************* use "\\XXYYZZ\dataset42.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr L(1/4).cost_change if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).ssr_rate_change inter1-inter4 l(1/4).same_curr_rate _Ihost_time_id*) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea5 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea5 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea5 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea5 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea5 nlcom liq: _b[ L.cost_change]+_b[ L2.cost_change]+_b[ L3.cost_change]+_b[ L4.cost_change], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea5 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea5 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A5", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A6 *excluding EUR lending into EUR-area borrowers' countries set matsize 10000 use "\\XXYYZZ\dataset63.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if eurozone_host==0 & denomination!="EUR" & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea6 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A6", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset63.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if eurozone_host==0 & denomination!="EUR" & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea6 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea6 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea6 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea6 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A6", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *excluding EUR lending from EUR-area source banking systems set matsize 10000 use "\\XXYYZZ\dataset53.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if eurozone_source==0 & denomination!="EUR" & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea6 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A6", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset53.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if eurozone_source==0 & denomination!="EUR" & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea6 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea6 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea6 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea6 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A6", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *excluding all EUR-area country pairs set matsize 10000 use "\\XXYYZZ\dataset.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if eurozone_host==0 & eurozone_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea6 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A6", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if eurozone_host==0 & eurozone_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea6 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea6 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea6 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea6 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea6 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea6 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea6 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A6", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A7 *excluding financial center borrowers' countries set matsize 10000 use "\\XXYYZZ\dataset17.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if fin_center_host==0 & denomination!="EUR" & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset17.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if fin_center_host==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *excluding financial center source banking systems set matsize 10000 use "\\XXYYZZ\dataset17.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset17.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *excluding all financial center country pairs set matsize 10000 use "\\XXYYZZ\dataset17.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if fin_center_host==0 & fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset17.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if fin_center_host==0 & fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A7 *excluding financial center borrowers' countries set matsize 10000 use "\\XXYYZZ\dataset17.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if fin_center_host==0 & denomination!="EUR" & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset17.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if fin_center_host==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *excluding financial center source banking systems set matsize 10000 use "\\XXYYZZ\dataset17.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset17.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *excluding all financial center country pairs set matsize 10000 use "\\XXYYZZ\dataset17.dta", clear sum fx_liquidity_short, detail local p75=r(p75) local p25=r(p25) xi i.source_id i.time_id i.host_id ************************************************ xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 L(1/4).fx_liquidity_short if fin_center_host==0 & fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).ssr_rate_change _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("Host and Source different","") nocons ************************************************************* use "\\XXYYZZ\dataset17.dta", clear xi i.host_time_id i.source_id quietly xtabond total_flows inter1-inter4 l(1/4).same_rate_liq L(1/4).fx_liquidity_short if fin_center_host==0 & fin_center_source==0 & same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).rate_change_source inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea7 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea7 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea7 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea7 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea7 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea7 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter2_rate_same_curr_t]+_b[ inter3_rate_same_curr_t]+_b[ inter3_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea7 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A7", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("Host and source different","") nocons ********************************************************************** *TABLE A8 set matsize 10000 *advanced borrowers' countries use "\\XXYYZZ\dataset22.dta", clear sum fx_liquidity, detail local p75=r(p75) local p25=r(p25) xi i.host_time_id i.source_id quietly xtabond total_flows L(1/4).eb_fx_liquidity eb_inter1-eb_inter4 L(1/4).ab_fx_liquidity ab_inter1-ab_inter4, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eb_ssr_rate_change L(1/4).ab_ssr_rate_change _Ihost_time_id* L(1/4).eb_rate_change_source L(1/4).ab_rate_change_source L(1/4).eb_gdp_growth_source L(1/4).ab_gdp_growth_source) inst(l(1/4).eb_short_long_ratio l(1/4).ab_short_long_ratio) nocons gen Observations=e(N) estimates store tablea8 nlcom ecsig: (_b[ab_inter1]+_b[ab_inter2]+_b[ab_inter3]+_b[ab_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea8 nlcom sum_rate: _b[ L.ab_ssr_rate_change]+_b[ L2.ab_ssr_rate_change]+_b[ L3.ab_ssr_rate_change]+_b[ L4.ab_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea8 nlcom inter: _b[ ab_inter1]+_b[ ab_inter2]+_b[ ab_inter3]+_b[ ab_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea8 nlcom liq: _b[ L.ab_fx_liquidity]+_b[ L2.ab_fx_liquidity]+_b[ L3.ab_fx_liquidity]+_b[ L4.ab_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A8", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-vabue_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-vabue_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("ab","") nocons ****************************************************** use "\\XXYYZZ\dataset22.dta", clear egen region_time_id=group(ab time_id) xi i.host_time_id i.source_id quietly xtabond total_flows L(1/4).eb_fx_liquidity eb_inter1-eb_inter4 L(1/4).ab_fx_liquidity ab_inter1-ab_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) vce(gmm) diff(L(1/4).eb_ssr_rate_change L(1/4).ab_ssr_rate_change _Ihost_time_id* L(1/4).eb_rate_change_source L(1/4).ab_rate_change_source L(1/4).eb_gdp_growth_source L(1/4).ab_gdp_growth_source) inst(l(1/4).eb_short_long_ratio l(1/4).ab_short_long_ratio) nocons gen Observations=e(N) estimates store tablea8 nlcom ecsig: (_b[ab_inter1]+_b[ab_inter2]+_b[ab_inter3]+_b[ab_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea8 nlcom sum_rate: _b[ L.ab_ssr_rate_change]+_b[ L2.ab_ssr_rate_change]+_b[ L3.ab_ssr_rate_change]+_b[ L4.ab_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea8 nlcom inter: _b[ ab_inter1]+_b[ ab_inter2]+_b[ ab_inter3]+_b[ ab_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea8 nlcom liq: _b[ L.ab_fx_liquidity]+_b[ L2.ab_fx_liquidity]+_b[ L3.ab_fx_liquidity]+_b[ L4.ab_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A8", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-vabue_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-vabue_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("ab","diff countries") nocons ********************************************** *emerging borrowers' countries xi i.host_time_id i.source_id quietly xtabond total_flows L(1/4).eb_fx_liquidity eb_inter1-eb_inter4 L(1/4).ab_fx_liquidity ab_inter1-ab_inter4, lags(4) maxlags(4) maxldep(4) diff(L(1/4).eb_ssr_rate_change L(1/4).ab_ssr_rate_change _Ihost_time_id* L(1/4).eb_rate_change_source L(1/4).ab_rate_change_source L(1/4).eb_gdp_growth_source L(1/4).ab_gdp_growth_source) inst(l(1/4).eb_short_long_ratio l(1/4).ab_short_long_ratio) nocons gen Observations=e(N) estimates store tablea8 nlcom ecsig: (_b[eb_inter1]+_b[eb_inter2]+_b[eb_inter3]+_b[eb_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea8 nlcom sum_rate: _b[ L.eb_ssr_rate_change]+_b[ L2.eb_ssr_rate_change]+_b[ L3.eb_ssr_rate_change]+_b[ L4.eb_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea8 nlcom inter: _b[ eb_inter1]+_b[ eb_inter2]+_b[ eb_inter3]+_b[ eb_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea8 nlcom liq: _b[ L.eb_fx_liquidity]+_b[ L2.eb_fx_liquidity]+_b[ L3.eb_fx_liquidity]+_b[ L4.eb_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A8", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-vabue_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-vabue_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eb","") nocons ****************************************************** use "\\XXYYZZ\dataset22.dta", clear egen region_time_id=group(ab time_id) xi i.host_time_id i.source_id quietly xtabond total_flows L(1/4).eb_fx_liquidity eb_inter1-eb_inter4 L(1/4).ab_fx_liquidity ab_inter1-ab_inter4 if same_country==0, lags(4) maxlags(4) maxldep(4) vce(gmm) diff(L(1/4).eb_ssr_rate_change L(1/4).ab_ssr_rate_change _Ihost_time_id* L(1/4).eb_rate_change_source L(1/4).ab_rate_change_source L(1/4).eb_gdp_growth_source L(1/4).ab_gdp_growth_source) inst(l(1/4).eb_short_long_ratio l(1/4).ab_short_long_ratio) nocons gen Observations=e(N) estimates store tablea8 nlcom ecsig: (_b[eb_inter1]+_b[eb_inter2]+_b[eb_inter3]+_b[eb_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea8 nlcom sum_rate: _b[ L.eb_ssr_rate_change]+_b[ L2.eb_ssr_rate_change]+_b[ L3.eb_ssr_rate_change]+_b[ L4.eb_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea8 nlcom inter: _b[ eb_inter1]+_b[ eb_inter2]+_b[ eb_inter3]+_b[ eb_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea8 nlcom liq: _b[ L.eb_fx_liquidity]+_b[ L2.eb_fx_liquidity]+_b[ L3.eb_fx_liquidity]+_b[ L4.eb_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A8", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-vabue_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-vabue_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-vabue_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eb","diff countries") nocons *************************************** *excluding own currency lending use "\\XXYYZZ\dataset334.dta", clear xi i.source_id i.host_time_id quietly xtabond total_flows L(1/4).fx_liquidity_short & own_currency==0, lags(4) nocons maxlags(4) maxldep(4) diff(inter1-inter4 L(1/4).ssr_rate_change _Ihost_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea8 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea8 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea8 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea8 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\A8", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("All","") nocons ********************************************************************************************* use "\\XXYYZZ\dataset334.dta", clear gen inter1_rate_same_curr_t=l.ssr_rate_change*same_curr_t gen inter2_rate_same_curr_t=l2.ssr_rate_change*same_curr_t gen inter3_rate_same_curr_t=l3.ssr_rate_change*same_curr_t gen inter4_rate_same_curr_t=l4.ssr_rate_change*same_curr_t gen inter1_same_curr_t=inter1*same_curr_t gen inter2_same_curr_t=inter2*same_curr_t gen inter3_same_curr_t=inter3*same_curr_t gen inter4_same_curr_t=inter4*same_curr_t gen same_rate_liq=same_curr_t*fx_liquidity_short gen same_curr_rate=same_curr_t*ssr_rate_change save, replace xi i.host_time_id i.source_id quietly xtabond total_flows l(1/4).same_rate_liq L(1/4).fx_liquidity_short & own_currency==0, lags(4) nocons maxlags(4) maxldep(4) diff(inter1_rate - inter4_rate inter1_same_curr - inter4_same_curr inter1-inter4 L(1/4).ssr_rate_change l(1/4).same_curr_rate _Ihost_time_id* L(1/4).gdp_growth_source L(1/4).rate_change_source) vce(gmm) inst(l(1/4).short_long_ratio) gen Observations=e(N) estimates store tablea8 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea8 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inter1_rate_same_curr_t]+_b[ inter1_rate_same_curr_t]+_b[ inter1_rate_same_curr_t]+_b[ inter1_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea8 nlcom sum_rate: _b[ L.ssr_rate_change]+_b[ L2.ssr_rate_change]+_b[ L3.ssr_rate_change]+_b[ L4.ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea8 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea8 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea8 nlcom intershadow: _b[ inter1_rate_same_curr_t]+_b[ inter1_rate_same_curr_t]+_b[ inter1_rate_same_curr_t]+_b[ inter1_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea8 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter2_same_curr_t]+_b[ inter3_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A8", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance target's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("All","") nocons ********************************************************************************************* *TABLE A9 *lending systems with swap-line access set matsize 10000 use "\\XXYYZZ\dataset42.dta", clear sum fx_liquidity, detail local p75=r(p75) local p25=r(p25) xi i.host_time_id i.source_id quietly xtabond nonbank_flows L(1/4).swap_fx_liquidity swap_inter1-swap_inter4 L(1/4).noswap_fx_liquidity noswap_inter1-noswap_inter4 swap_inter1-swap_inter4 noswap_inter1-noswap_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).swap_ssr_rate_change L(1/4).noswap_ssr_rate_change L(1/4)swap_rate_change_source L(1/4).noswap_rate_change_source L(1/4).swap_gdp_growth_source L(1/4).noswap_gdp_growth_source _Ihost_time_id*) inst(l(1/4).noswap_short_long_ratio l(1/4).swap_short_long_ratio) gen Observations=e(N) estimates store tablea9 nlcom ecsig: (_b[swap_inter1]+_b[swap_inter2]+_b[swap_inter3]+_b[swap_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea9 nlcom sum_rate: _b[ L.swap_ssr_rate_change]+_b[ L2.swap_ssr_rate_change]+_b[ L3.swap_ssr_rate_change]+_b[ L4.swap_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea9 nlcom inter: _b[ swap_inter1]+_b[ swap_inter2]+_b[ swap_inter3]+_b[ swap_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea9 nlcom liq: _b[ L.swap_fx_liquidity]+_b[ L2.swap_fx_liquidity]+_b[ L3.swap_fx_liquidity]+_b[ L4.swap_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A9", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("swaplines","") nocons ****************************************************** use "\\XXYYZZ\dataset42.dta", clear gen same_liq=same_country*fx_liquidity gen same_rate=same_country*ssr_rate_change gen noswap_inter1_rate_same_country=noswap*l.ssr_rate_change*same_country gen noswap_inter2_rate_same_country=noswap*l2.ssr_rate_change*same_country gen noswap_inter3_rate_same_country=noswap*l3.ssr_rate_change*same_country gen noswap_inter4_rate_same_country=noswap*l4.ssr_rate_change*same_country gen noswap_inter1_same_country=noswap*noswap_inter1*same_country gen noswap_inter2_same_country=noswap*noswap_inter2*same_country gen noswap_inter3_same_country=noswap*noswap_inter3*same_country gen noswap_inter4_same_country=noswap*noswap_inter4*same_country gen noswap_inter1_liq_same_country=noswap*l.same_country*l.fx_liquidity gen noswap_inter2_liq_same_country=noswap*l2.same_country*l2.fx_liquidity gen noswap_inter3_liq_same_country=noswap*l3.same_country*l3.fx_liquidity gen noswap_inter4_liq_same_country=noswap*l4.same_country*l4.fx_liquidity gen swap_inter1_rate_same_country=swap*l.ssr_rate_change*same_country gen swap_inter2_rate_same_country=swap*l2.ssr_rate_change*same_country gen swap_inter3_rate_same_country=swap*l3.ssr_rate_change*same_country gen swap_inter4_rate_same_country=swap*l4.ssr_rate_change*same_country gen swap_inter1_same_country=swap*swap_inter1*same_country gen swap_inter2_same_country=swap*swap_inter2*same_country gen swap_inter3_same_country=swap*swap_inter3*same_country gen swap_inter4_same_country=swap*swap_inter4*same_country gen swap_inter1_liq_same_country=swap*l.same_country*l.fx_liquidity gen swap_inter2_liq_same_country=swap*l2.same_country*l2.fx_liquidity gen swap_inter3_liq_same_country=swap*l3.same_country*l3.fx_liquidity gen swap_inter4_liq_same_country=swap*l4.same_country*l4.fx_liquidity xi i.host_time_id i.source_id i.source_id quietly xtabond nonbank_flows noswap_inter1_same_country - noswap_inter4_same_country swap_inter1_same_country - swap_inter4_same_country *inter*_liq*country L(1/4).swap_fx_liquidity L(1/4).noswap_fx_liquidity noswap_inter1-noswap_inter4 swap_inter1 - swap_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).swap_ssr_rate_change L(1/4).noswap_ssr_rate_change _Ihost_time_id* *inter*rate*country L(1/4)swap_rate_change_source L(1/4).noswap_rate_change_source L(1/4).swap_gdp_growth_source L(1/4).noswap_gdp_growth_source) inst(l(1/4).noswap_short_long_ratio l(1/4).swap_short_long_ratio) gen Observations=e(N) estimates store tablea9 nlcom ecsig: (_b[swap_inter1]+_b[swap_inter2]+_b[swap_inter3]+_b[swap_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea9 nlcom ecsig_same: (_b[swap_inter1]+_b[swap_inter2]+_b[swap_inter3]+_b[swap_inter4]+_b[ swap_inter1_rate_same_country]+_b[ swap_inter2_rate_same_country]+_b[ swap_inter3_rate_same_country]+_b[swap_inter4_rate_same_country])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea9 nlcom sum_rate: _b[ L.swap_ssr_rate_change]+_b[ L2.swap_ssr_rate_change]+_b[ L3.swap_ssr_rate_change]+_b[ L4.swap_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea9 nlcom inter: _b[ swap_inter1]+_b[ swap_inter2]+_b[ swap_inter3]+_b[ swap_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea9 nlcom liq: _b[ L.swap_fx_liquidity]+_b[ L2.swap_fx_liquidity]+_b[ L3.swap_fx_liquidity]+_b[ L4.swap_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea9 nlcom intershadow: _b[ swap_inter1_rate_same_country]+_b[ swap_inter2_rate_same_country]+_b[ swap_inter3_rate_same_country]+_b[ swap_inter4_rate_same_country], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea9 nlcom triple: _b[ swap_inter1_same_country]+_b[ swap_inter2_same_country]+_b[ swap_inter3_same_country]+_b[ swap_inter4_same_country], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A9", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("swaplines","") nocons ****************************** use "\\XXYYZZ\dataset42.dta", clear egen sector_time_id=group(source_id time_id) egen source_host_id=group(source_id host_id) xi i.host_time_id i.source_id quietly xtabond nonbank_flows noswap_inter1 - noswap_inter4 swap_inter1 - swap_inter4 noswap_inter1_same_curr - noswap_inter4_same_curr noswap_inter1_same_curr_t - noswap_inter4_same_curr_t swap_inter1_same_curr_t - swap_inter4_same_curr_t *inter*_liq*curr* L(1/4).swap_fx_liquidity L(1/4).noswap_fx_liquidity noswap_inter1-noswap_inter4 swap_inter1 - swap_inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).swap_ssr_rate_change L(1/4).noswap_ssr_rate_change _Ihost_time_id* *inter*rate*curr* L(1/4)swap_rate_change_source L(1/4).noswap_rate_change_source L(1/4).swap_gdp_growth_source L(1/4).noswap_gdp_growth_source) inst(l(1/4).noswap_short_long_ratio l(1/4).swap_short_long_ratio) gen Observations=e(N) estimates store tablea9 nlcom ecsig: (_b[swap_inter1]+_b[swap_inter2]+_b[swap_inter3]+_b[swap_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea9 nlcom ecsig_same: (_b[swap_inter1]+_b[swap_inter2]+_b[swap_inter3]+_b[swap_inter4]+_b[ swap_inter1_rate_same_curr_t]+_b[ swap_inter2_rate_same_curr_t]+_b[ swap_inter3_rate_same_curr_t]+_b[swap_inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea9 nlcom sum_rate: _b[ L.swap_ssr_rate_change]+_b[ L3.swap_ssr_rate_change]+_b[ L4.swap_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea9 nlcom inter: _b[ swap_inter1]+_b[ swap_inter2]+_b[ swap_inter3]+_b[ swap_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea9 nlcom liq: _b[ L.swap_fx_liquidity]+_b[ L2.swap_fx_liquidity]+_b[ L3.swap_fx_liquidity]+_b[ L4.swap_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea9 nlcom intershadow: _b[ swap_inter1_rate_same_curr_t]+_b[ swap_inter2_rate_same_curr_t]+_b[ swap_inter3_rate_same_curr_t]+_b[ swap_inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea9 nlcom triple: _b[ swap_inter1_same_curr_t]+_b[ swap_inter2_same_curr_t]+_b[ swap_inter3_same_curr_t]+_b[ swap_inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A9", addstat( ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("swaplines","") nocons *************************************** *lending systems without swap-line access use "\\XXYYZZ\dataset42.dta", clear egen source_time_id=group(source_id time_id) xi i.host_time_id i.source_id quietly xtabond nonbank_flows L(1/4).swap_fx_liquidity swap_inter1-swap_inter4 L(1/4).noswap_fx_liquidity noswap_inter1-noswap_inter4 swap_inter1-swap_inter4 noswap_inter1-noswap_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).swap_ssr_rate_change L(1/4).noswap_ssr_rate_change L(1/4)swap_rate_change_source L(1/4).noswap_rate_change_source L(1/4).swap_gdp_growth_source L(1/4).noswap_gdp_growth_source _Ihost_time_id*) inst(l(1/4).noswap_short_long_ratio l(1/4).swap_short_long_ratio) gen Observations=e(N) estimates store tablea9 nlcom ecsig: (_b[noswap_inter1]+_b[noswap_inter2]+_b[noswap_inter3]+_b[noswap_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea9 nlcom sum_rate: _b[ L.noswap_ssr_rate_change]+_b[ L2.noswap_ssr_rate_change]+_b[ L3.noswap_ssr_rate_change]+_b[ L4.noswap_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea9 nlcom inter: _b[ noswap_inter1]+_b[ noswap_inter2]+_b[ noswap_inter3]+_b[ noswap_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea9 nlcom liq: _b[ L.noswap_fx_liquidity]+_b[ L2.noswap_fx_liquidity]+_b[ L3.noswap_fx_liquidity]+_b[ L4.noswap_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A9", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("noswaplines","") nocons ****************************************************** use "\\XXYYZZ\dataset42.dta", clear gen same_liq=same_country*fx_liquidity gen same_rate=same_country*ssr_rate_change gen noswap_inter1_rate_same_country=noswap*l.ssr_rate_change*same_country gen noswap_inter2_rate_same_country=noswap*l2.ssr_rate_change*same_country gen noswap_inter3_rate_same_country=noswap*l3.ssr_rate_change*same_country gen noswap_inter4_rate_same_country=noswap*l4.ssr_rate_change*same_country gen noswap_inter1_same_country=noswap*noswap_inter1*same_country gen noswap_inter2_same_country=noswap*noswap_inter2*same_country gen noswap_inter3_same_country=noswap*noswap_inter3*same_country gen noswap_inter4_same_country=noswap*noswap_inter4*same_country gen noswap_inter1_liq_same_country=noswap*l.same_country*l.fx_liquidity gen noswap_inter2_liq_same_country=noswap*l2.same_country*l2.fx_liquidity gen noswap_inter3_liq_same_country=noswap*l3.same_country*l3.fx_liquidity gen noswap_inter4_liq_same_country=noswap*l4.same_country*l4.fx_liquidity gen swap_inter1_rate_same_country=swap*l.ssr_rate_change*same_country gen swap_inter2_rate_same_country=swap*l2.ssr_rate_change*same_country gen swap_inter3_rate_same_country=swap*l3.ssr_rate_change*same_country gen swap_inter4_rate_same_country=swap*l4.ssr_rate_change*same_country gen swap_inter1_same_country=swap*swap_inter1*same_country gen swap_inter2_same_country=swap*swap_inter2*same_country gen swap_inter3_same_country=swap*swap_inter3*same_country gen swap_inter4_same_country=swap*swap_inter4*same_country gen swap_inter1_liq_same_country=swap*l.same_country*l.fx_liquidity gen swap_inter2_liq_same_country=swap*l2.same_country*l2.fx_liquidity gen swap_inter3_liq_same_country=swap*l3.same_country*l3.fx_liquidity gen swap_inter4_liq_same_country=swap*l4.same_country*l4.fx_liquidity egen source_time_id=group(source_id time_id) xi i.host_time_id i.source_id quietly xtabond nonbank_flows noswap_inter1_same_country - noswap_inter4_same_country swap_inter1_same_country - swap_inter4_same_country *inter*_liq*country L(1/4).swap_fx_liquidity L(1/4).noswap_fx_liquidity noswap_inter1-noswap_inter4 swap_inter1 - swap_inter4, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).swap_ssr_rate_change L(1/4).noswap_ssr_rate_change _Ihost_time_id* *inter*rate*country L(1/4)swap_rate_change_source L(1/4).noswap_rate_change_source L(1/4).swap_gdp_growth_source L(1/4).noswap_gdp_growth_source) inst(l(1/4).noswap_short_long_ratio l(1/4).swap_short_long_ratio) gen Observations=e(N) estimates store tablea9 nlcom ecsig: (_b[noswap_inter1]+_b[noswap_inter2]+_b[noswap_inter3]+_b[noswap_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea9 nlcom ecsig_same: (_b[noswap_inter1]+_b[noswap_inter2]+_b[noswap_inter3]+_b[noswap_inter4]+_b[ noswap_inter1_rate_same_country]+_b[ noswap_inter2_rate_same_country]+_b[ noswap_inter3_rate_same_country]+_b[noswap_inter4_rate_same_country])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea9 nlcom sum_rate: _b[ L.noswap_ssr_rate_change]+_b[ L2.noswap_ssr_rate_change]+_b[ L3.noswap_ssr_rate_change]+_b[ L4.noswap_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea9 nlcom inter: _b[ noswap_inter1]+_b[ noswap_inter2]+_b[ noswap_inter3]+_b[ noswap_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea9 nlcom liq: _b[ L.noswap_fx_liquidity]+_b[ L2.noswap_fx_liquidity]+_b[ L3.noswap_fx_liquidity]+_b[ L4.noswap_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea9 nlcom intershadow: _b[ noswap_inter1_rate_same_country]+_b[ noswap_inter2_rate_same_country]+_b[ noswap_inter3_rate_same_country]+_b[ noswap_inter4_rate_same_country], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea9 nlcom triple: _b[ noswap_inter1_same_country]+_b[ noswap_inter2_same_country]+_b[ noswap_inter3_same_country]+_b[ noswap_inter4_same_country], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A9", addstat(?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("noswaplines","") nocons ****************************** use "\\XXYYZZ\dataset42.dta", clear egen sector_time_id=group(source_id time_id) egen source_host_id=group(source_id host_id) xi i.host_time_id i.source_id i.source_id quietly xtabond nonbank_flows noswap_inter1 - noswap_inter4 swap_inter1 - swap_inter4 noswap_inter1_same_curr - noswap_inter4_same_curr noswap_inter1_same_curr_t - noswap_inter4_same_curr_t swap_inter1_same_curr_t - swap_inter4_same_curr_t *inter*_liq*curr* L(1/4).swap_fx_liquidity L(1/4).noswap_fx_liquidity noswap_inter1-noswap_inter4 swap_inter1 - swap_inter4 if same_country==0, lags(4) nocons maxlags(4) maxldep(4) diff(L(1/4).swap_ssr_rate_change L(1/4).noswap_ssr_rate_change _Ihost_time_id* *inter*rate*curr* L(1/4)swap_rate_change_source L(1/4).noswap_rate_change_source L(1/4).swap_gdp_growth_source L(1/4).noswap_gdp_growth_source) inst(l(1/4).noswap_short_long_ratio l(1/4).swap_short_long_ratio) gen Observations=e(N) estimates store tablea9 nlcom ecsig: (_b[noswap_inter1]+_b[noswap_inter2]+_b[noswap_inter3]+_b[noswap_inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea9 nlcom ecsig_same: (_b[noswap_inter1]+_b[noswap_inter2]+_b[noswap_inter3]+_b[noswap_inter4]+_b[ noswap_inter1_rate_same_curr_t]+_b[ noswap_inter2_rate_same_curr_t]+_b[ noswap_inter3_rate_same_curr_t]+_b[noswap_inter4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea9 nlcom sum_rate: _b[ L.noswap_ssr_rate_change]+_b[ L3.noswap_ssr_rate_change]+_b[ L4.noswap_ssr_rate_change], post gen beta_rate=_b[sum_rate] gen se_rate=_se[sum_rate] version 9: gen pv_rate=2*(1-norm(abs(beta_rate/se_rate))) estimates restore tablea9 nlcom inter: _b[ noswap_inter1]+_b[ noswap_inter2]+_b[ noswap_inter3]+_b[ noswap_inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea9 nlcom liq: _b[ L.noswap_fx_liquidity]+_b[ L2.noswap_fx_liquidity]+_b[ L3.noswap_fx_liquidity]+_b[ L4.noswap_fx_liquidity], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea9 nlcom intershadow: _b[ noswap_inter1_rate_same_curr_t]+_b[ noswap_inter2_rate_same_curr_t]+_b[ noswap_inter3_rate_same_curr_t]+_b[ noswap_inter4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea9 nlcom triple: _b[ noswap_inter1_same_curr_t]+_b[ noswap_inter2_same_curr_t]+_b[ noswap_inter3_same_curr_t]+_b[ noswap_inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A9", addstat( ?D Shadow Interest Rate{t-1 to t-4} , beta_rate, se_rate, se_rate, p-value_rate, pv_rate , ?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's sector Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's sector Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("noswaplines","") nocons ****************************** *TABLE A10 set matsize 10000 use "\\XXYYZZ\dataset16.dta", clear sum fx_liquidity, detail local p75=r(p75) local p25=r(p25) *USD from EUR xi i.source_id i.time_id quietly xtabond nonbank_flows inter1_usd_eur inter2_usd_eur inter3_usd_eur inter4_usd_eur L(1/4).fx_liquidity if same_country==0 & usd==1, lags(4) maxlags(4) maxldep(4) diff(L(1/4).rate_change_source L(1/4).gdp_growth_source _Itime_id*) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea10 nlcom ecsig: (_b[inter1_usd_eur]+_b[inter2_usd_eur]+_b[inter3_usd_eur]+_b[inter4_usd_eur])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea10 nlcom inter: _b[ inter1_usd_eur]+_b[ inter2_usd_eur]+_b[ inter3_usd_eur]+_b[ inter4_usd_eur], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea10 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A10", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("USD","vs. EUR") nocons ********************************************************** use "\\XXYYZZ\dataset16.dta", clear *USD from JPY xi i.source_id i.host_id i.time_id quietly xtabond nonbank_flows inter1_usd_jpy inter2_usd_jpy inter3_usd_jpy inter4_usd_jpy L(1/4).fx_liquidity if same_country==0 & usd==1, lags(4) maxlags(4) maxldep(4) diff( Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea10 nlcom ecsig: (_b[inter1_usd_jpy]+_b[inter2_usd_jpy]+_b[inter3_usd_jpy]+_b[inter4_usd_jpy])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea10 nlcom inter: _b[ inter1_usd_jpy]+_b[ inter2_usd_jpy]+_b[ inter3_usd_jpy]+_b[ inter4_usd_jpy], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea10 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A10", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("USD","vs. jpy") nocons ********************************************************** use "\\XXYYZZ\dataset16.dta", clear *EUR from USD xi i.source_id i.host_id i.time_id quietly xtabond nonbank_flows inter1_eur_usd inter2_eur_usd inter3_eur_usd inter4_eur_usd inter1_eur_usd L(1/4).fx_liquidity if same_country==0 & eur==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea10 nlcom ecsig: (_b[inter1_eur_usd]+_b[inter2_eur_usd]+_b[inter3_eur_usd]+_b[inter4_eur_usd])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea10 nlcom inter: _b[ inter1_eur_usd]+_b[ inter2_eur_usd]+_b[ inter3_eur_usd]+_b[ inter4_eur_usd], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea10 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A10", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","vs. USD") nocons ********************************************************** use "\\XXYYZZ\dataset16.dta", clear *EUR from JPY xi i.source_id i.host_id i.time_id quietly xtabond nonbank_flows inter1_eur_jpy inter2_eur_jpy inter3_eur_jpy inter4_eur_jpy inter1_eur_usd L(1/4).fx_liquidity if same_country==0 & eur==1, lags(4) maxlags(4) maxldep(4) vce(gmm) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea10 nlcom ecsig: (_b[inter1_eur_jpy]+_b[inter2_eur_jpy]+_b[inter3_eur_jpy]+_b[inter4_eur_jpy])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea10 nlcom inter: _b[ inter1_eur_jpy]+_b[ inter2_eur_jpy]+_b[ inter3_eur_jpy]+_b[ inter4_eur_jpy], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea10 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A10", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","vs. jpy") nocons ********************************************************** *JPY from USD use "\\XXYYZZ\dataset16.dta", clear xi i.source_id i.host_id i.time_id quietly xtabond nonbank_flows inter1_jpy_usd inter2_jpy_usd inter3_jpy_usd inter4_jpy_usd L(1/4).fx_liquidity if same_country==0 & jpy==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea10 nlcom ecsig: (_b[inter1_jpy_usd]+_b[inter2_jpy_usd]+_b[inter3_jpy_usd]+_b[inter4_jpy_usd])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea10 nlcom inter: _b[ inter1_jpy_usd]+_b[ inter2_jpy_usd]+_b[ inter3_jpy_usd]+_b[ inter4_jpy_usd], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea10 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A10", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("jpy","vs. USD") nocons ********************************************************** *JPY from EUR use "\\XXYYZZ\dataset16.dta", clear xi i.source_id i.host_id i.time_id quietly xtabond nonbank_flows L(1/4).fx_liquidity inter1_jpy_eur inter2_jpy_eur inter3_jpy_eur inter4_jpy_eur if same_country==0 & jpy==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea10 nlcom ecsig: (_b[inter1_jpy_eur]+_b[inter2_jpy_eur]+_b[inter3_jpy_eur]+_b[inter4_jpy_eur])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea10 nlcom inter: _b[ inter1_jpy_eur]+_b[ inter2_jpy_eur]+_b[ inter3_jpy_eur]+_b[ inter4_jpy_eur], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea10 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A10", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("jpy","vs. eur") nocons ********************************************************** *TABLE A11 set matsize 10000 use "\\XXYYZZ\dataset10.dta", clear *USD xi i.source_id i.time_id quietly xtabond bank_flows L(1/4).fx_liquidity inter1-inter4 if same_country==0 & usd==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea11 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea11 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea11 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A11", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel replace noobs ctitle("USD","") nocons ********************************************************** use "\\XXYYZZ\dataset10.dta", clear xi i.host_time_id i.source_id i.time_id quietly xtabond bank_flows inter1-inter4 inter*_t L(1/4).fx_liquidity_short inter1-inter4 inten*_t if same_country==0 & usd==1, lags(4) maxldep(4) maxlags(4) diff( _Ihost_time_id* Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(L(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea11 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea11 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inten1_rate_same_curr_t]+_b[ inten2_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea11 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea11 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea11 nlcom intershadow: _b[ inten1_rate_same_curr_t]+_b[ inten2_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea11 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A11", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("USD","") nocons ********************************************************** *eur use "\\XXYYZZ\dataset10.dta", clear xi i.source_id i.time_id quietly xtabond bank_flows L(1/4).fx_liquidity inter1-inter4 if same_country==0 & eur==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea11 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea11 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea11 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A11", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","") nocons ********************************************************** use "\\XXYYZZ\dataset10.dta", clear xi i.host_time_id i.source_id i.time_id quietly xtabond bank_flows inter1-inter4 inter*_t L(1/4).fx_liquidity_short inter1-inter4 inten*_t if same_country==0 & eur==1, lags(4) maxldep(4) maxlags(4) diff( _Ihost_time_id* Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(L(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea11 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea11 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inten1_rate_same_curr_t]+_b[ inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea11 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea11 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea11 nlcom intershadow: _b[ inten1_rate_same_curr_t]+_b[ inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea11 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A11", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("eur","") nocons ********************************************************** *jpy use "\\XXYYZZ\dataset10.dta", clear xi i.source_id i.time_id quietly xtabond bank_flows L(1/4).fx_liquidity inter1-inter4 if same_country==0 & jpy==1, lags(4) maxlags(4) maxldep(4) diff(_Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(l(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea11 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea11 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea11 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) outreg2 using "\\XXYYZZ\Table A11", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig) excel append noobs ctitle("jpy","") nocons ********************************************************** use "\\XXYYZZ\dataset10.dta", clear xi i.host_time_id i.time_id quietly xtabond bank_flows inter1-inter4 inter*_t L(1/4).fx_liquidity_short inter1-inter4 inten*_t if same_country==0 & jpy==1, lags(4) maxldep(4) maxlags(4) diff( _Ihost_time_id* Itime_id* L(1/4).rate_change_source L(1/4).gdp_growth_source) inst(L(1/4).short_long_ratio) nocons gen Observations=e(N) estimates store tablea11 nlcom ecsig: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4])*(`p75'-`p25'), post gen ecsig=_b[ecsig] gen se_ecsig=_se[ecsig] version 9: gen pv_ecsig=2*(1-norm(abs(ecsig/se_ecsig))) estimates restore tablea11 nlcom ecsig_same: (_b[inter1]+_b[inter2]+_b[inter3]+_b[inter4]+_b[ inten2_rate_same_curr_t]+_b[ inten3_rate_same_curr_t]+_b[ inten4_rate_same_curr_t])*(`p75'-`p25'), post gen ecsig_same=_b[ecsig_same] gen se_ecsig_same=_se[ecsig_same] version 9: gen pv_ecsig_same=2*(1-norm(abs(ecsig_same/se_ecsig_same))) estimates restore tablea11 nlcom inter: _b[ inter1]+_b[ inter2]+_b[ inter3]+_b[ inter4], post gen inter=_b[inter] gen se_inter=_se[inter] version 9: gen pv_inter=2*(1-norm(abs(inter/se_inter))) estimates restore tablea11 nlcom liq: _b[ L.fx_liquidity_short]+_b[ L2.fx_liquidity_short]+_b[ L3.fx_liquidity_short]+_b[ L4.fx_liquidity_short], post gen liq=_b[liq] gen se_liq=_se[liq] version 9: gen pv_liq=2*(1-norm(abs(liq/se_liq))) estimates restore tablea11 nlcom intershadow: _b[ inten2_rate_same_curr_t]+_b[ inten3_rate_same_curr_t]+_b[ inten4_rate_same_curr_t], post gen intershadow=_b[intershadow] gen se_intershadow=_se[intershadow] version 9: gen pv_intershadow=2*(1-norm(abs(intershadow/se_intershadow))) estimates restore tablea11 nlcom triple: _b[ inter1_same_curr_t]+_b[ inter4_same_curr_t], post gen triple=_b[triple] gen se_triple=_se[triple] version 9: gen pv_triple=2*(1-norm(abs(triple/se_triple))) outreg2 using "\\XXYYZZ\Table A11", addstat(?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, inter, se_inter, se_inter, p-value_inter, pv_inter, Host's Currency Dummy*?D Shadow Interest Rate*FX Liquidity {t-1 to t-4}, triple, se_triple, se_triple, p-value_triple, pv_triple, Host's Currency Dummy*?D Shadow Interest Rate {t-1 to t-4}, intershadow, se_intershadow, se_intershadow, p-value_intershadow, pv_intershadow, FX Liquidity {t-1 to t-4}, liq, se_liq, se_liq, p-value_liq, pv_liq, Number of Observations, Observations, Economic significance, ecsig, se_ecsig, se_ecsig, pv_ecsig, pv_ecsig, Economic significance host's curr, ecsig_same, se_ecsig_same, se_ecsig_same, pv_ecsig_same, pv_ecsig_same) excel append noobs ctitle("jpy","") nocons ********************************************************** ***PLEASE NOTE: THE FILE PATHS ARE MASKED FOR CONFIDENTIALITY REASONS