Appendix D: Tests for Declining Liquidity Constraints | RDP 9512: Consumption, Investment and International Linkages

RDP 9512: Consumption, Investment and International Linkages Appendix D: Tests for Declining Liquidity Constraints

Guy Debelle and Bruce Preston

December 1995

Table 8: Unit Normal Tests of the Hypothesis of Declining Liquidity Constraints
Instruments	OECD	Japan	US
	Foreign activity measure
ΔY_d	1.35^*	1.24	1.59^*
ΔY_d,ΔC	2.62^**	2.46^**	2.82^**
ΔY_d,r	1.12	1.01	1.36^*
ΔY_d,ΔY_f,Y_d,Y_f,r	1.18	0.81	1.59^*
Notes: The table tests whether . Values reported are test statistics calculated using: where and are point estimates for the sub-periods 1973:Q2–1982:Q4 and 1983:Q1–1994:Q4 respectively. Similarly and are estimates of the associated variances. Z has approximately an N(0,1) distribution for sufficiently large samples. N(0,1) has critical values 1.65 and 1.29 at the 5% and 10% per cent levels, respectively. Values marked ** (*) are significant at the 5% (10%) level.