' ************************************************************************************* ' * This programme estimates the models in: ' * Greenwood-Nimmo, M.J. (2009). "The Self-Defeating Pursuit of ' * Stability", Ekonomiaz. ' * Programme written by M. Greenwood-Nimmo, April 2009. ' * Comments and queries to mjgn@lubs.leeds.ac.uk. ' ************************************************************************************* ' -------------------------------------------------------- ' Read the data & set the sample period ' -------------------------------------------------------- wfopen k:\ekonomiaz\data\data.xls smpl 1971q2 2008q4 ' --------------------------------------- ' Construct series of interest ' --------------------------------------- series liab1=100*liab/inc_pre series loan_total=(loan_b+loan_o+mort)/liab series loan_total2=100*(loan_b+loan_o)/inc_pre series bond_total=(bond+paper+muni)/liab series bond_total2=100*(bond+paper+muni)/inc_pre ' -------------------------------------------- ' Construct time-varying weights ' -------------------------------------------- series w_paper = paper/(paper+bond+muni+loan_b+loan_o+mort) series w_bond = (bond+muni)/(paper+bond+muni+loan_b+loan_o+mort) series w_loan = (loan_b+loan_o)/(paper+bond+muni+loan_b+loan_o+mort) series w_mort = mort/(paper+bond+muni+loan_b+loan_o+mort) series w_paper2 = paper/(paper+bond+muni) series w_bond2 = (bond+muni)/(paper+bond+muni) series w_loan2 = (loan_b+loan_o)/(loan_b+loan_o+mort) series w_mort2 = mort/(loan_b+loan_o+mort) series r_ave = w_paper*rcpQ+w_bond*raaaQ+w_loan*rprlQ+w_mort*rmtgQ series rbcp = w_paper2*rcpQ+w_bond2*raaaQ series rlm = w_loan2*rprlQ+w_mort2*rmtgQ ' ---------------------------------------------------------------------------------------- ' Estimate the conditional variance of GDP growth (growth risk) ' ---------------------------------------------------------------------------------------- ' series lgdp=log(gdp) ' series grow=400*d(lgdp) series grow=growth equation garch_grow.arch(1,1,5000,h) grow c grow(-1) grow(-2) grow(-3) _ grow(-4) grow(-12) garch_grow.makegarch grow_risk1 series grow_risk=(400*grow_risk1)/(@elem(grow_risk1, "2002:1")+ _ @elem(grow_risk1, "2002:2")+@elem(grow_risk1, "2002:3")+ _ @elem(grow_risk1, "2002:4")) graph grow_risk_gr.line grow_risk grow_risk_gr.draw(shade, bottom) 1973:4 1975:1 grow_risk_gr.draw(shade, bottom) 1980:1 1980:3 grow_risk_gr.draw(shade, bottom) 1981:3 1982:4 grow_risk_gr.draw(shade, bottom) 1990:3 1991:1 grow_risk_gr.draw(shade, bottom) 2001:1 2001:4 grow_risk_gr.draw(shade, bottom) 2007:4 2008:4 grow_risk_gr.options linepat grow_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) grow_risk_gr.options size(4,2) -inbox grow_risk_gr.legend -display grow_risk_gr.save(t=wmf) k:\ekonomiaz\figures\grow_risk_gr graph grow_gr.line grow grow_gr.draw(shade, bottom) 1973:4 1975:1 grow_gr.draw(shade, bottom) 1980:1 1980:3 grow_gr.draw(shade, bottom) 1981:3 1982:4 grow_gr.draw(shade, bottom) 1990:3 1991:1 grow_gr.draw(shade, bottom) 2001:1 2001:4 grow_gr.draw(shade, bottom) 2007:4 2008:4 grow_gr.options linepat grow_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) grow_gr.options size(4,2) -inbox grow_gr.legend -display grow_gr.save(t=wmf) k:\ekonomiaz\figures\grow_gr ' --------------------------------------------------------------------------------------------------- ' Estimate the conditional variance of equity growth (stock market risk) ' --------------------------------------------------------------------------------------------------- series eqt=sp500q ' series leqt=log(eqt) ' series gr_eqt=400*d(leqt) series gr_eqt=sp500q_gr equation garch_eqt.arch(1,1,5000,h) gr_eqt c gr_eqt(-1) gr_eqt(-2) _ gr_eqt(-3) gr_eqt(-4) gr_eqt(-5) garch_eqt.makegarch eqt_risk1 ' This uses the stock index not the growth rate in the GARCH model ' equation garch_eqt.arch(1,1,5000) eqt c eqt(-1) eqt(-2) eqt(-3) eqt(-4) ' garch_eqt.makegarch eqt_risk1 series eqt_risk=(400*eqt_risk1)/(@elem(eqt_risk1, "2002:1")+ _ @elem(eqt_risk1, "2002:2")+@elem(eqt_risk1, "2002:3")+ _ @elem(eqt_risk1, "2002:4")) graph eqt_risk_gr.line eqt_risk eqt_risk_gr.draw(shade, bottom) 1973:4 1975:1 eqt_risk_gr.draw(shade, bottom) 1980:1 1980:3 eqt_risk_gr.draw(shade, bottom) 1981:3 1982:4 eqt_risk_gr.draw(shade, bottom) 1990:3 1991:1 eqt_risk_gr.draw(shade, bottom) 2001:1 2001:4 eqt_risk_gr.draw(shade, bottom) 2007:4 2008:4 eqt_risk_gr.options linepat eqt_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) eqt_risk_gr.options size(4,2) -inbox eqt_risk_gr.legend -display eqt_risk_gr.save(t=wmf) k:\ekonomiaz\figures\eqt_risk_gr graph eqt_gr.line eqt eqt_gr.draw(shade, bottom) 1973:4 1975:1 eqt_gr.draw(shade, bottom) 1980:1 1980:3 eqt_gr.draw(shade, bottom) 1981:3 1982:4 eqt_gr.draw(shade, bottom) 1990:3 1991:1 eqt_gr.draw(shade, bottom) 2001:1 2001:4 eqt_gr.draw(shade, bottom) 2007:4 2008:4 eqt_gr.options linepat eqt_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) eqt_gr.options size(4,2) -inbox eqt_gr.legend -display eqt_gr.save(t=wmf) k:\ekonomiaz\figures\eqt_gr ' -------------------------------------------------------------------------- ' Estimate the conditional variance of pre-tax income ' -------------------------------------------------------------------------- equation garch_inc_pre.arch(1,1,5000,h) inc_pre c inc_pre(-1) inc_pre(-2) _ inc_pre(-3) inc_pre(-4) inc_pre(-5) inc_pre(-6) inc_pre(-8) garch_inc_pre.makegarch inc_pre_risk1 series inc_pre_risk=(400*inc_pre_risk1)/(@elem(inc_pre_risk1, "2002:1")+ _ @elem(inc_pre_risk1, "2002:2")+@elem(inc_pre_risk1, "2002:3")+ _ @elem(inc_pre_risk1, "2002:4")) graph inc_pre_risk_gr.line inc_pre_risk inc_pre_risk_gr.draw(shade, bottom) 1973:4 1975:1 inc_pre_risk_gr.draw(shade, bottom) 1980:1 1980:3 inc_pre_risk_gr.draw(shade, bottom) 1981:3 1982:4 inc_pre_risk_gr.draw(shade, bottom) 1990:3 1991:1 inc_pre_risk_gr.draw(shade, bottom) 2001:1 2001:4 inc_pre_risk_gr.draw(shade, bottom) 2007:4 2008:4 inc_pre_risk_gr.options linepat inc_pre_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) inc_pre_risk_gr.options size(4,2) -inbox inc_pre_risk_gr.legend -display inc_pre_risk_gr.save(t=wmf) k:\ekonomiaz\figures\inc_pre_risk_gr graph inc_pre_gr.line inc_pre inc_pre_gr.draw(shade, bottom) 1973:4 1975:1 inc_pre_gr.draw(shade, bottom) 1980:1 1980:3 inc_pre_gr.draw(shade, bottom) 1981:3 1982:4 inc_pre_gr.draw(shade, bottom) 1990:3 1991:1 inc_pre_gr.draw(shade, bottom) 2001:1 2001:4 inc_pre_gr.draw(shade, bottom) 2007:4 2008:4 inc_pre_gr.options linepat inc_pre_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) inc_pre_gr.options size(4,2) -inbox inc_pre_gr.legend -display inc_pre_gr.save(t=wmf) k:\ekonomiaz\figures\inc_pre_gr ' ------------------------------------------------------------------------------------- ' Estimate the conditional variance of the interest rate series ' ------------------------------------------------------------------------------------- ' ***** r_ave - Weighted average interest rate (all borrowing) series r_ave1=0.25*log(1+(r_ave/100)) equation garch_r_ave.arch(1,1,5000,h) r_ave c r_ave(-1) r_ave(-2) _ r_ave(-3) r_ave(-4) garch_r_ave.makegarch r_ave_risk1 series r_ave_risk=(400*r_ave_risk1)/(@elem(r_ave_risk1, "2002:1")+ _ @elem(r_ave_risk1, "2002:2")+@elem(r_ave_risk1, "2002:3")+ _ @elem(r_ave_risk1, "2002:4")) graph r_ave_risk_gr.line r_ave_risk r_ave_risk_gr.draw(shade, bottom) 1973:4 1975:1 r_ave_risk_gr.draw(shade, bottom) 1980:1 1980:3 r_ave_risk_gr.draw(shade, bottom) 1981:3 1982:4 r_ave_risk_gr.draw(shade, bottom) 1990:3 1991:1 r_ave_risk_gr.draw(shade, bottom) 2001:1 2001:4 r_ave_risk_gr.draw(shade, bottom) 2007:4 2008:4 r_ave_risk_gr.options linepat r_ave_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) r_ave_risk_gr.options size(4,2) -inbox r_ave_risk_gr.legend -display r_ave_risk_gr.save(t=wmf) k:\ekonomiaz\figures\r_ave_risk_gr graph r_ave_gr.line r_ave r_ave_gr.draw(shade, bottom) 1973:4 1975:1 r_ave_gr.draw(shade, bottom) 1980:1 1980:3 r_ave_gr.draw(shade, bottom) 1981:3 1982:4 r_ave_gr.draw(shade, bottom) 1990:3 1991:1 r_ave_gr.draw(shade, bottom) 2001:1 2001:4 r_ave_gr.draw(shade, bottom) 2007:4 2008:4 r_ave_gr.options linepat r_ave_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) r_ave_gr.options size(4,2) -inbox r_ave_gr.legend -display r_ave_gr.save(t=wmf) k:\ekonomiaz\figures\r_ave_gr series rr_ave1=0.25*log(1+((r_ave-inf)/100)) equation garch_rr_ave.arch(1,1,5000,h) rr_ave1 c rr_ave1(-1) rr_ave1(-2) _ rr_ave1(-3) rr_ave1(-4) garch_rr_ave.makegarch rr_ave_risk1 series rr_ave_risk=(400*rr_ave_risk1)/(@elem(rr_ave_risk1, "2002:1")+ _ @elem(rr_ave_risk1, "2002:2")+@elem(rr_ave_risk1, "2002:3")+ _ @elem(rr_ave_risk1, "2002:4")) graph rr_ave_risk_gr.line rr_ave_risk rr_ave_risk_gr.draw(shade, bottom) 1973:4 1975:1 rr_ave_risk_gr.draw(shade, bottom) 1980:1 1980:3 rr_ave_risk_gr.draw(shade, bottom) 1981:3 1982:4 rr_ave_risk_gr.draw(shade, bottom) 1990:3 1991:1 rr_ave_risk_gr.draw(shade, bottom) 2001:1 2001:4 rr_ave_risk_gr.draw(shade, bottom) 2007:4 2008:4 rr_ave_risk_gr.options linepat rr_ave_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rr_ave_risk_gr.options size(4,2) -inbox rr_ave_risk_gr.legend -display rr_ave_risk_gr.save(t=wmf) k:\ekonomiaz\figures\rr_ave_risk_gr graph rr_ave_gr.line rr_ave1 rr_ave_gr.draw(shade, bottom) 1973:4 1975:1 rr_ave_gr.draw(shade, bottom) 1980:1 1980:3 rr_ave_gr.draw(shade, bottom) 1981:3 1982:4 rr_ave_gr.draw(shade, bottom) 1990:3 1991:1 rr_ave_gr.draw(shade, bottom) 2001:1 2001:4 rr_ave_gr.draw(shade, bottom) 2007:4 2008:4 rr_ave_gr.options linepat rr_ave_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rr_ave_gr.options size(4,2) -inbox rr_ave_gr.legend -display rr_ave_gr.save(t=wmf) k:\ekonomiaz\figures\rr_ave_gr ' ***** rbcp - Weighted average interest rate (bonds and paper) series rbcp1=0.25*log(1+(rbcp/100)) equation garch_rbcp.arch(1,1,5000,h) rbcp c rbcp(-1) rbcp(-2) _ rbcp(-3) rbcp(-4) garch_rbcp.makegarch rbcp_risk1 series rbcp_risk=(400*rbcp_risk1)/(@elem(rbcp_risk1, "2002:1")+ _ @elem(rbcp_risk1, "2002:2")+@elem(rbcp_risk1, "2002:3")+ _ @elem(rbcp_risk1, "2002:4")) graph rbcp_risk_gr.line rbcp_risk rbcp_risk_gr.draw(shade, bottom) 1973:4 1975:1 rbcp_risk_gr.draw(shade, bottom) 1980:1 1980:3 rbcp_risk_gr.draw(shade, bottom) 1981:3 1982:4 rbcp_risk_gr.draw(shade, bottom) 1990:3 1991:1 rbcp_risk_gr.draw(shade, bottom) 2001:1 2001:4 rbcp_risk_gr.draw(shade, bottom) 2007:4 2008:4 rbcp_risk_gr.options linepat rbcp_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rbcp_risk_gr.options size(4,2) -inbox rbcp_risk_gr.legend -display rbcp_risk_gr.save(t=wmf) k:\ekonomiaz\figures\rbcp_risk_gr graph rbcp_gr.line rbcp rbcp_gr.draw(shade, bottom) 1973:4 1975:1 rbcp_gr.draw(shade, bottom) 1980:1 1980:3 rbcp_gr.draw(shade, bottom) 1981:3 1982:4 rbcp_gr.draw(shade, bottom) 1990:3 1991:1 rbcp_gr.draw(shade, bottom) 2001:1 2001:4 rbcp_gr.draw(shade, bottom) 2007:4 2008:4 rbcp_gr.options linepat rbcp_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rbcp_gr.options size(4,2) -inbox rbcp_gr.legend -display rbcp_gr.save(t=wmf) k:\ekonomiaz\figures\rbcp_gr series rrbcp1=0.25*log(1+((rbcp-inf)/100)) equation garch_rrbcp.arch(1,1,5000,h) rrbcp1 c rrbcp1(-1) rrbcp1(-2) _ rrbcp1(-3) rrbcp1(-4) garch_rrbcp.makegarch rrbcp_risk1 series rrbcp_risk=(400*rrbcp_risk1)/(@elem(rrbcp_risk1, "2002:1")+ _ @elem(rrbcp_risk1, "2002:2")+@elem(rrbcp_risk1, "2002:3")+ _ @elem(rrbcp_risk1, "2002:4")) graph rrbcp_risk_gr.line rrbcp_risk rrbcp_risk_gr.draw(shade, bottom) 1973:4 1975:1 rrbcp_risk_gr.draw(shade, bottom) 1980:1 1980:3 rrbcp_risk_gr.draw(shade, bottom) 1981:3 1982:4 rrbcp_risk_gr.draw(shade, bottom) 1990:3 1991:1 rrbcp_risk_gr.draw(shade, bottom) 2001:1 2001:4 rrbcp_risk_gr.draw(shade, bottom) 2007:4 2008:4 rrbcp_risk_gr.options linepat rrbcp_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rrbcp_risk_gr.options size(4,2) -inbox rrbcp_risk_gr.legend -display rrbcp_risk_gr.save(t=wmf) k:\ekonomiaz\figures\rrbcp_risk_gr graph rrbcp_gr.line rrbcp1 rrbcp_gr.draw(shade, bottom) 1973:4 1975:1 rrbcp_gr.draw(shade, bottom) 1980:1 1980:3 rrbcp_gr.draw(shade, bottom) 1981:3 1982:4 rrbcp_gr.draw(shade, bottom) 1990:3 1991:1 rrbcp_gr.draw(shade, bottom) 2001:1 2001:4 rrbcp_gr.draw(shade, bottom) 2007:4 2008:4 rrbcp_gr.options linepat rrbcp_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rrbcp_gr.options size(4,2) -inbox rrbcp_gr.legend -display rrbcp_gr.save(t=wmf) k:\ekonomiaz\figures\rrbcp_gr ' ***** rlm - Weighted average interest rate (loans and mortgages) series rlm1=0.25*log(1+(rlm/100)) equation garch_rlm.arch(1,1,5000,h) rlm c rlm(-1) rlm(-2) rlm(-3) _ rlm(-4) rlm(-5) rlm(-6) garch_rlm.makegarch rlm_risk1 series rlm_risk=(400*rlm_risk1)/(@elem(rlm_risk1, "2002:1")+ _ @elem(rlm_risk1, "2002:2")+@elem(rlm_risk1, "2002:3")+ _ @elem(rlm_risk1, "2002:4")) graph rlm_risk_gr.line rlm_risk rlm_risk_gr.draw(shade, bottom) 1973:4 1975:1 rlm_risk_gr.draw(shade, bottom) 1980:1 1980:3 rlm_risk_gr.draw(shade, bottom) 1981:3 1982:4 rlm_risk_gr.draw(shade, bottom) 1990:3 1991:1 rlm_risk_gr.draw(shade, bottom) 2001:1 2001:4 rlm_risk_gr.draw(shade, bottom) 2007:4 2008:4 rlm_risk_gr.options linepat rlm_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rlm_risk_gr.options size(4,2) -inbox rlm_risk_gr.legend -display rlm_risk_gr.save(t=wmf) k:\ekonomiaz\figures\rlm_risk_gr graph rlm_gr.line rlm rlm_gr.draw(shade, bottom) 1973:4 1975:1 rlm_gr.draw(shade, bottom) 1980:1 1980:3 rlm_gr.draw(shade, bottom) 1981:3 1982:4 rlm_gr.draw(shade, bottom) 1990:3 1991:1 rlm_gr.draw(shade, bottom) 2001:1 2001:4 rlm_gr.draw(shade, bottom) 2007:4 2008:4 rlm_gr.options linepat rlm_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rlm_gr.options size(4,2) -inbox rlm_gr.legend -display rlm_gr.save(t=wmf) k:\ekonomiaz\figures\rlm_gr series rrlm1=0.25*log(1+((rlm-inf)/100)) equation garch_rrlm.arch(1,1,5000,h) rrlm1 c rrlm1(-1) rrlm1(-2) rrlm1(-3) _ rrlm1(-4) garch_rrlm.makegarch rrlm_risk1 series rrlm_risk=(400*rrlm_risk1)/(@elem(rrlm_risk1, "2002:1")+ _ @elem(rrlm_risk1, "2002:2")+@elem(rrlm_risk1, "2002:3")+ _ @elem(rrlm_risk1, "2002:4")) graph rrlm_risk_gr.line rrlm_risk rrlm_risk_gr.draw(shade, bottom) 1973:4 1975:1 rrlm_risk_gr.draw(shade, bottom) 1980:1 1980:3 rrlm_risk_gr.draw(shade, bottom) 1981:3 1982:4 rrlm_risk_gr.draw(shade, bottom) 1990:3 1991:1 rrlm_risk_gr.draw(shade, bottom) 2001:1 2001:4 rrlm_risk_gr.draw(shade, bottom) 2007:4 2008:4 rrlm_risk_gr.options linepat rrlm_risk_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rrlm_risk_gr.options size(4,2) -inbox rrlm_risk_gr.legend -display rrlm_risk_gr.save(t=wmf) k:\ekonomiaz\figures\rrlm_risk_gr graph rrlm_gr.line rrlm1 rrlm_gr.draw(shade, bottom) 1973:4 1975:1 rrlm_gr.draw(shade, bottom) 1980:1 1980:3 rrlm_gr.draw(shade, bottom) 1981:3 1982:4 rrlm_gr.draw(shade, bottom) 1990:3 1991:1 rrlm_gr.draw(shade, bottom) 2001:1 2001:4 rrlm_gr.draw(shade, bottom) 2007:4 2008:4 rrlm_gr.options linepat rrlm_gr.setelem(1) lcolor(black) lwidth(2) lpat(1) rrlm_gr.options size(4,2) -inbox rrlm_gr.legend -display rrlm_gr.save(t=wmf) k:\ekonomiaz\figures\rrlm_gr ' -------------------------------------------------------------------------------------------- ' OLS levels regressions (ignores LR relationships and dynamics) ' -------------------------------------------------------------------------------------------- ' ***** Total cedit market liabilities relative to income equation total.ls liab1 c grow_risk inc_pre_risk r_ave_risk _ r_ave grow eqt liab1(-1) liab1(-2) liab1(-3) freeze(total_f) total.testdrop grow_risk inc_pre_risk r_ave_risk freeze(total_sc) total.auto(2) freeze(total_het) total.white ' ***** Bonds and commercial paper relative to income equation bondeq.ls bond_total2 c grow_risk inc_pre_risk _ rbcp_risk rbcp grow eqt bond_total2(-1) freeze(bondeq_f) bondeq.testdrop grow_risk inc_pre_risk _ rbcp_risk freeze(bondeq_sc) bondeq.auto(2) freeze(bondeq_het) bondeq.white ' ***** Loans and mortgages relative to income equation loan.ls loan_total2 c grow_risk inc_pre_risk rlm_risk _ rlm grow eqt loan_total2(-1) loan_total2(-5) loan_total2(-6) freeze(loan_f) loan.testdrop grow_risk inc_pre_risk rlm_risk freeze(loan_sc) loan.auto(2) freeze(loan_het) loan.white ' --------------------------------------------------------------------- ' ARDL regressions (includes LR and dynamics) ' --------------------------------------------------------------------- ' ***** Create series of interest series dliab1=d(liab1) series dbond_total2=d(bond_total2) series dloan_total2=d(loan_total2) series dr_ave=d(r_ave) series drbcp=d(rbcp) series drlm=d(rlm) series dgrow=d(grow) series deqt=d(eqt) series dr_ave_risk=d(r_ave_risk) series drbcp_risk=d(rbcp_risk) series drlm_risk=d(rlm_risk) series dgrow_risk=d(grow_risk) series deqt_risk=d(eqt_risk) series dinc_pre_risk=d(inc_pre_risk) ' ***** Total credit market liabilities relative to income ' Unrestricted ARDL equation ardl_liab_un.ls dliab1 c liab1(-1) r_ave(-1) grow(-1) eqt(-1) _ r_ave_risk(-1) grow_risk(-1) inc_pre_risk(-1) dliab1(-1 to -4) dr_ave(0 to -4) _ dgrow(0 to -4) deqt(0 to -4) dr_ave_risk(0 to -4) dgrow_risk(0 to -4) _ dinc_pre_risk(0 to -4) ' Restricted ARDL equation ardl_liab_rest.ls dliab1 c liab1(-1) r_ave(-1) grow(-1) eqt(-1) _ r_ave_risk(-1) grow_risk(-1) inc_pre_risk(-1) dr_ave(-2 to -4) dgrow(0 to -1) _ dgrow(-4) deqt(-1 to -4) dgrow_risk(-1) dgrow_risk(-3) dinc_pre_risk ' PSS F-test for LR relationship freeze(ardl_liab_pss) ardl_liab_rest.testdrop liab1(-1) r_ave(-1) grow(-1) _ eqt(-1) r_ave_risk(-1) grow_risk(-1) inc_pre_risk(-1) ' LR coefficients freeze(ardl_liab_lr) ardl_liab_rest.wald -c(3)/c(2)=0 -c(4)/c(2)=0 _ -c(5)/c(2)=0 -c(6)/c(2)=0 -c(7)/c(2)=0 -c(8)/c(2)=0 ' Breusch-Godfrey serial correlation LM test freeze(ardl_liab_sc) ardl_liab_rest.auto(2) ' White heteroskedasticity test freeze(ardl_liab_het) ardl_liab_rest.white ' ***** Bonds and commercial paper relative to income ' Unrestricted ARDL equation ardl_bond_un.ls dbond_total2 c bond_total2(-1) rbcp(-1) grow(-1) _ eqt(-1) rbcp_risk(-1) grow_risk(-1) inc_pre_risk(-1) dbond_total2(-1 to -4) _ drbcp(0 to -4) dgrow(0 to -4) deqt(0 to -4) drbcp_risk(0 to -4) _ dgrow_risk(0 to -4) dinc_pre_risk(0 to -4) ' Restricted ARDL equation ardl_bond_rest.ls dbond_total2 c bond_total2(-1) rbcp(-1) grow(-1) _ eqt(-1) rbcp_risk(-1) grow_risk(-1) inc_pre_risk(-1) dbond_total2(-3) _ drbcp(-1) drbcp(-3) dgrow dgrow(-4) deqt(-1) deqt(-3 to -4) _ dinc_pre_risk(0 to -1) dinc_pre_risk(-4) ' PSS F-test for LR relationship freeze(ardl_bond_pss) ardl_bond_rest.testdrop bond_total2(-1) rbcp(-1) _ grow(-1) eqt(-1) rbcp_risk(-1) grow_risk(-1) inc_pre_risk(-1) ' LR coefficients freeze(ardl_bond_lr) ardl_bond_rest.wald -c(3)/c(2)=0 -c(4)/c(2)=0 _ -c(5)/c(2)=0 -c(6)/c(2)=0 -c(7)/c(2)=0 -c(8)/c(2)=0 ' Breusch-Godfrey serial correlation LM test freeze(ardl_bond_sc) ardl_bond_rest.auto(2) ' White heteroskedasticity test freeze(ardl_bond_het) ardl_bond_rest.white ' ***** Loans and mortgages relative to income ' Unrestricted ARDL equation ardl_loan_un.ls dloan_total2 c loan_total2(-1) rlm(-1) grow(-1) _ eqt(-1) rlm_risk(-1) grow_risk(-1) inc_pre_risk(-1) dloan_total2(-1 to -4) _ drlm(0 to -4) dgrow(0 to -4) deqt(0 to -4) drlm_risk(0 to -4) _ dgrow_risk(0 to -4) dinc_pre_risk(0 to -4) ' Restricted ARDL equation ardl_loan_rest.ls dloan_total2 c loan_total2(-1) rlm(-1) grow(-1) _ eqt(-1) rlm_risk(-1) grow_risk(-1) inc_pre_risk(-1) drlm(-3 to -4) _ dgrow(0 to -1) dgrow(-4) deqt(-1) deqt(-4) drlm_risk(-2) dgrow_risk(-1) _ dinc_pre_risk ' PSS F-test for LR relationship freeze(ardl_loan_pss) ardl_loan_rest.testdrop loan_total2(-1) rlm(-1) _ grow(-1) eqt(-1) rlm_risk(-1) grow_risk(-1) inc_pre_risk(-1) ' LR coefficients freeze(ardl_loan_lr) ardl_loan_rest.wald -c(3)/c(2)=0 -c(4)/c(2)=0 _ -c(5)/c(2)=0 -c(6)/c(2)=0 -c(7)/c(2)=0 -c(8)/c(2)=0 ' Breusch-Godfrey serial correlation LM test freeze(ardl_loan_sc) ardl_loan_rest.auto(2) ' White heteroskedasticity test freeze(ardl_loan_het) ardl_loan_rest.white