RDP 9602: Consumption and Liquidity Constraints in Australia and East Asia: Does Financial Integration Matter? Appendix B: Estimation Results

Gordon de Brouwer

May 1996

Table B.1: Australia Non-Durable and Total Consumption Growth
  (1) (2) (3) (4) (5)
Non-dur (PFC def) constraint defined as income growth 1970–1994 Non-dur & services, constraint defined as income growth 1975–1994 Total consumption, constraint defined as income growth 1965–1994
  		Total consumption, constraint defined as income growth 1965–1994
  		Total consumption, constraint defined as income growth 1965–1994
 
Constant 1.61
(1.52)		 0.012** (0.003) −0.25
(0.17)		 −0.01
(0.13)		 0.14
(0.18)
Log income
(t-1)		 0.14**
(0.05)		   0.44**
(0.17)		 0.19*
(0.10)		 0.38**
(0.17)
Log consumption
(t-1)		 −0.37
(0.22)		   −0.41**
(0.15)		 −0.18*
(0.09)		 −0.37**
(0.16)
Inflation rate
(t)		     −0.30**
(0.12)		   −0.24*
(0.13)
Age 20–29 / age 20–64
(t)		       −0.34*
(0.19)		  
Liquidity constraint
(t)		   0.32*
(0.163)		 0.43**
(0.12)		 0.56**
(0.12)		  
Liquidity constraint (t)(70s) 0.55**
(0.24)		       0.41**
(0.16)
Liquidity constraint (t)(80s) 0.38
(0.30)		       0.66**
(0.24)
R-bar-squared 0.186 0.198 0.511 0.480 0.563
Standard error 0.0151   0.0098 0.0100 0.092
Misspecification χ2(10)=4.2 (0.939) χ2(4)=1.0 (0.918) χ2(10)=15 (0.120) χ2(11)=18* (0.092) χ2(6)=2.7 (0.841)
Serial correlation
(χ2(1))		 1.10
(0.294)		 1.98
(0.159)		 2.05
(0.152)		 0.09
(0.765)		 0.26
(0.612)
Functional form
(χ2(1))		 0.00
(0.968)		 0.32
(0.574)		 0.00
(0.999)		 0.93
(0.335)		 0.01
(0.915)
Normality
(χ2(2))		 0.24
(0.886)		 0.79
(0.674)		 1.52
(0.469)		 0.12
(0.943)		 1.02
(0.600)
Heteroscedasticity
(χ2(1))		 0.41
(0.520)		 0.01
(0.904)		 1.57
(0.219)		 0.69
(0.405)		 0.20
(0.658)

Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.
Table B.2: Hong Kong Non-Durable Consumption Growth
  Constraint defined as loan rate
Constant 1.16
(0.70)
Log income
(t-1)		 0.24*
(0.12)
Log consumption
(t-1)		 −0.38*
(0.19)
Liquidity constraint
(t)		 −0.95**
(0.43)
R-bar-squared 0.234
Standard error 0.0534
Misspecification χ2(7)=11.37
(0.123)
Serial correlation
(χ2(1))		 6.32
(0.012)
Functional form
(χ2(1))		 0.36
(0.547)
Normality
(χ2(2))		 1.02
(0.601)
Heteroscedasticity
(χ2(1))		 0.00
(0.995)
Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.
Table B.3: Japan Non-Durable Consumption Growth
  (1) (2) (3) (4) (5)
Constraint defined as income growth Constraint defined as money/GDP Constraint defined as real land prices Constraint defined as income growth Constraint defined as real land prices
Constant 1.32**
(0.25)		 1.95**
(0.31)		 2.18**
(0.26)		 0.95**
(0.32)		 2.35**
(0.29)
Log income
(t-1)		 0.32**
(0.10)		 0.16
(0.11)		 0.32**
(0.08)		 0.37**
(0.11)		 0.39**
(0.09)
Log consumption (t-1) −0.60**
(0.15)		 −0.53**
(0.16)		 −0.76**
(0.13)		 −0.61**
(0.18)		 −0.86**
(0.14)
Real deposit rate (t) 0.24**
(0.07)		 0.24**
(0.08)		 0.39**
(0.07)		 0.26**
(0.08)		 0.39**
(0.07)
Ddepend
(t)		 −5.18*
(2.45)		 −4.59*
(2.59)		 −3.04
(2.11)		    
Liquidity constraint (t) 0.36**
(0.15)		 0.13**
(0.05)		 0.001**
(0.0002)		    
Liquidity constraint (t)(70s)       0.55**
(0.13)		 0.0010**
(0.0002)
Liquidity constraint (t)(80s)       0.40*
(0.20)		 0.0011**
(0.0002)
R-bar-squared 0.762 0.716 0.829 0.660 0.803
Standard error 0.0074 0.0081 0.0062 0.0088 0.0067
Misspecification χ2(5)=3.20
(0.669)		 χ2(6)=6.50
(0.370)		 χ2(6)=6.32
(0.388)		 χ2(12)=7.4
(0.687)		 χ2(12)=10
(0.615)
Serial correlation (χ2(1)) 0.51
(0.475)		 0.04
(0.844)		 0.17
(0.684)		 0.84
(0.559)		 0.10
(0.741)
Functional form (χ2(1)) 0.00
(0.991)		 0.22
(0.642)		 0.02
(0.879)		 0.71
(0.400)		 0.35
(0.556)
Normality
(χ2(2))		 1.47
(0.479)		 1.15
(0.563)		 1.12
(0.572)		 0.14
(0.934)		 0.87
(0.647)
Heteroscedasticity (χ2(1)) 0.10
(0.757)		 2.97*
(0.085)		 0.73
(0.392)		 1.03
(0.311)		 0.92
(0.337)

Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.
Table B.4: Korea Non-Durable Consumption Growth
  (1) (2) (3)
Constraint defined as income growth Constraint defined as loan rate (OLS estimation) Constraint defined as income growth
Constant 0.52**
(0.23)		 1.13**
(0.38)		 0.49**
(0.23)
Log income
(t-1)		 0.18**
(0.06)		 0.23**
(0.09)		 0.19**
(0.06)
Log consumption
(t-1)		 −0.29**
(0.11)		 −0.43**
(0.16)		 −0.29**
(0.10)
Liquidity constraint
(t)		 0.20**
(0.09)		 −0.22**
(0.08)		  
Liquidity constraint
(t)(70s)		     0.39**
(0.08)
Liquidity constraint
(t)(80s)		     0.35**
(0.08)
R-bar-squared 0.654 0.337 0.686
Standard error 0.0137 0.0189 0.0130
Misspecification χ2(5)=1.20
(0.945)		 n/a χ2(6)=8.34
(0.214)
Serial correlation
(χ2(1))		 0.59
(0.443)		 0.78
(0.378)		 0.50
(0.478)
Functional form
(χ2(1))		 2.42
(0.120)		 0.00
(0.953)		 3.15*
(0.076)
Normality
(χ2(2))		 1.28
(0.526)		 0.24
(0.889)		 6.44**
(0.040)
Heteroscedasticity
(χ2(1))		 0.28
(0.594)		 2.24
(0.134)		 1.35
(0.245)

Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.
Table B.5: Singapore Non-Durable Consumption Growth
  (1) (2) (3) (4)
Liquidity constraint defined as income growth Liquidity constraint defined as money/GDP ratio Liquidity constraint defined as the deposit rate Liquidity constraint defined as income growth
Constant 2.57**
(0.71)		 0.72
(0.89)		 −0.20
(1.02)		 2.15**
(0.75)
Log income
(t-1)		 0.19**
(0.06)		 −0.04
(0.08)		 −0.08
(0.08)		 0.18**
(0.06)
Log consumption
(t-1)		 −0.56**
(0.16)		 −0.05
(0.20)		 0.13
(0.23)		 −0.46**
(0.17)
Real interest rate
(t)		 0.34**
(0.08)		 0.30**
(0.12)		 0.38**
(0.13)		 0.35**
(0.09)
Liquidity constraint
(t)		 0.56**
(0.09)		 0.16**
(0.07)		    
Liquidity constraint
(t-1)		     −0.74**
(0.32)		  
Liquidity constraint
(t)(70s)		       0.60**
(0.17)
Liquidity constraint
(t)(80s)		       0.46**
(0.10)
R-bar-squared 0.723 0.465 0.388 0.716
Standard error 0.0140 0.0199 0.0204 0.0144
Misspecification χ2(5)=4.46
(0.486)		 – – χ2(10)=9.94
(0.446)
Serial correlation
(χ2(1))		 0.42
(0.518)		 1.01
(0.314)		 1.45
(0.228)		 0.31
(0.579)
Functional form
(χ2(1))		 2.43
(0.119)		 0.36
(0.549)		 0.36
(0.547)		 0.12
(0.725)
Normality
(χ2(2))		 0.87
(0.646)		 0.30
(0.860)		 0.45
(0.798)		 15.87**
(0.000)
Heteroscedasticity
(χ2(1))		 0.95
(0.329)		 2.45
(0.115)		 2.17
(0.140)		 2.09
(0.491)

Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.
Table B.6: Taiwan Non-Durable Consumption Growth
  (1) (2) (3) (4)
Constraint defined as current income growth Constraint defined as money/GDP ratio Constraint defined as loan rate Constraint defined as current income growth
Constant 1.99**
(0.51)		 1.77**
(0.58)		 1.42**
(0.43)		 1.58**
(0.45)
Log income
(t-1)		 0.27**
(0.06)		 0.22**
(0.07)		 0.19**
(0.08)		 0.28**
(0.06)
Log consumption
(t-1)		 −0.49**
(0.11)		 −0.43**
(0.13)		 −0.34**
(0.12)		 −0.46**
(0.11)
Δdependency ratio
(t)		 5.21**
(1.45)		   1.87
(1.42)		 4.70**
(1.57)
Loan-deposit rates
(t)		 −1.34**
(0.55)		     −0.78*
(0.38)
Liquidity constraint
(t)		 0.34**
(0.08)		 0.06**
(0.03)		 −0.80**
(0.31)		  
Liquidity constraint
(t)(60s)		       0.38**
(0.14)
Liquidity constraint
(t)(70s)		       0.36**
(0.06)
Liquidity constraint
(t)(80s)		       0.15
(0.10)
R-bar-squared 0.625 0.350 0.390 0.652
Standard error 0.0145 0.0191 0.0185 0.0140
Misspecification χ2(8)=6.46
(0.596)		 χ2(9)=8.09
(0.525)		 χ2(11)=17.20
(0.102)		 χ2(22)=16.22
(0.805)
Serial correlation
(χ2(1))		 1.33
(0.249)		 0.00
(0.970)		 0.67
(0.411)		 1.56
(0.212)
Functional form
(χ2(1))		 0.32
(0.572)		 0.44
(0.508)		 2.63
(0.105)		 0.39
(0.533)
Normality
(χ2(2))		 0.00
(1.000)		 1.02
(0.599)		 1.79
(0.409)		 0.48
(0.785)
Heteroscedasticity
(χ2(1))		 0.54
(0.462)		 0.26
(0.609)		 0.00
(0.980)		 0.59
(0.320)

Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.
Table B.7: Thailand Non-Durable Consumption Growth
  (1) (2) (3) (4) (5)
Liquidity constraint defined as current income growth Liquidity constraint defined as money/GDP ratio Liquidity constraint defined as loan rate Liquidity constraint defined as loan-deposit rate Liquidity constraint defined as current income growth
Constant 1.94**
(0.41)		 0.38
(0.68)		 1.17**
(0.52)		 0.09**
(0.03)		 1.99**
(0.41)
Log income
(t-1)		 0.50**
(0.09)		 0.41**
(0.12)		 0.37**
(0.12)		   0.51**
(0.09)
Log consumption
(t-1)		 −0.77**
(0.14)		 −0.52**
(0.19)		 −0.52**
(0.19)		   −0.78**
(0.14)
Δage ratio
(t)		 14.92**
(6.66)		       16.00*
(8.18)
Real interest rate
(t)		 0.15**
(0.06)		 0.31**
(0.11)		 0.16*
(0.09)		   0.15**
(0.05)
Liquidity constraint
(t)		 0.32**
(0.06)		 2.13**
(0.029)		 −0.62**
(0.26)		 −0.71**
(0.34)		  
Liquidity constraint
(t)(70s)		         0.30**
(0.12)
Liquidity constraint
(t)(80s)		         0.30**
(0.07)
R-bar-squared 0.800 0.581 0.588 0.261 0.786
Standard error 0.0093 0.0136 0.0134 0.0180 0.0097
Misspecification χ2(7)=7.94
(0.338)		 χ2(7)=8.19
(0.316)		 χ2(7)=11.3
(0.126)		 χ2(6)=9.03
(0.172)		 χ2(10)=12
(0.259)
Serial correlation
(χ2(1))		 2.29
(0.130)		 0.02
(0.899)		 0.00
(0.957)		 1.21
(0.272)		 2.59
(0.107)
Functional form
(χ2(1))		 0.44
(0.507)		 0.44
(0.505)		 2.02
(0.155)		 0.56
(0.454)		 0.06
(0.811)
Normality
(χ2(2))		 0.67
(0.716)		 1.47
(0.479)		 1.05
(0.593)		 0.85
(0.654)		 0.74
(0.691)
Heteroscedasticity
(χ2(1))		 0.01
(0.927)		 1.05
(0.306)		 0.44
(0.507)		 0.42
(0.517)		 0.04
(0.834)

Note: Value in parenthesis after estimated coefficient is standard error, value in parenthesis after chi-square diagnostic statistic is marginal significance level; ** indicates significant at 5%,* indicates significant at 10%.