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The Time Horizon Of Asset Price Movements To Predict Financial Crises

Table 5:

C6 C12
Variables Coefficient z-Stat Prob.   Variable Coefficient z-Stat Prob.  
C 0.502044 1.177448 0.239 C 0.411443 0.850424 0.3951
M2 -1.001756 -1.04349 0.2967 CPS 1.02780289 1.383773 0.1664
GDPR 2.15185333 1.945962 0.0517 GDPR 1.00924828 1.920637 0.0548
McFadden R-squared 0.055226   STIR -0.947664 -1.79766 0.0722
LTIR 2.57559533 1.452259 0.1464
McFadden R-squared 0.094783    
C24 C60
Variable Coefficient z-Stat Prob.   Variable Coefficient z-Stat Prob.  
C 0.495201 1.313661 0.189 C -1.370525 -3.20974 0.0013
GDPD 1.5021565 2.852592 0.0043 CPI 0.09158481 0.044086 0.9648
STIR -0.651978 -1.56655 0.1172 CPS 1.02461235 3.622096 0.0003
LTIR -1.7672507 -1.57877 0.1144 GDPR -0.990299 -0.42541 0.6705
REER 0.510072 -1.24102 0.9819 GDPD 1.0732264 2.545611 0.0109
M2 -1.0044241 -0.44641 0.6553 STIR 0.942688 1.950195 0.0512
McFadden R-squared 0.123939     REER 0.1991321 0.188122 0.8508
LTIR 2.871795 0.833108 0.4048
NEER -0.563031 -0.5193 0.6035
McFadden R-squared 0.241063  
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