Online Appendix for Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
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1 Online Appendix for Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis Andrew K. Rose and Mark M. Spiegel February 24, 2012 This appendix provides the appendix tables referred to Dollar Illiquidity and Central Bank Facilities During the Global Financial Crisis, by Andrew K. Rose and Mark M. Spiegel, in the Journal of International Economics. Please see that paper for additional information. All views presented are those of authors and do not represent the views of the Federal Reserve Bank of San Francisco or Federal Reserve System.
2 Table A1: Add Level Effects to Interaction Terms ExposureXauction (-2.01) (-4.90) (-2.95) (-3.98) (-1.35) (-3.70) (-3.86) TranspXauction (-2.25) (-2.64) (-2.19) (-2.52) (-2.27) (-3.20) (-3.25) IlliquidXauction (0.37) (-0.19) (0.16) (0.51) (-0.28) (0.48) (0.55) Exposure (-1.46) (-0.87) (-1.01) (1.98) (0.98) (2.50) (2.13) Transp (0.66) (0.88) (0.67) (0.79) (1.78) (1.33) (1.23) Illiquid (2.10) (2.61) (2.26) (1.53) (2.04) (1.75) (1.61) ExposureXSP (-5.21) (-4.58) (-6.19) (-20.91) (-4.88) (-15.31) (-14.59) Chg Default (0.53) (0.76) (0.44) (0.85) (2.12) (0.91) (0.92) N R
3 Table A2: Base specification without time dummies auction (1.69) (2.26) (1.72) (0.91) (1.21) (-0.10) (0.14) Exposure auction (-1.30) (-3.89) (-1.68) (-1.52) (-0.88) (-0.02) (-0.27) Transp auction (-0.63) (-0.83) (-0.72) (-0.32) (-0.57) (0.43) (0.27) Illiquid auction (-1.03) (-0.39) (-0.62) (-0.79) (-0.80) (-0.91) (-0.85) Exposure SP (-5.75) (-4.62) (-6.72) (-22.59) (-5.54) (-16.93) (-16.09) Default (0.68) (0.88) (0.60) (0.94) (2.43) (1.01) (1.02) Num of Obs R t statistic in parentheses; OLS with country fixed effects and robust standard errors. 2
4 Table A3: Base specification with weekly time dummies Exposure auction (-0.28) (-1.67) (-0.65) (-0.25) (0.30) (0.77) (0.48) Transp auction (-0.36) (-0.46) (-0.45) (-0.22) (-0.27) (0.49) (0.30) Illiquid auction (0.52) (0.44) (0.53) (0.30) (0.32) (-0.26) (-0.13) Exposure SP (0.24) (-0.74) (-0.07) (-3.05) (0.54) (-2.22) (-2.56) Chg Default (-0.19) (-0.25) (-0.23) (-0.20) (1.00) (-0.19) (-0.19) Num of Obs R t statistic in parentheses; OLS with country fixed effects, weekly time dummies, and robust standard errors. 3
5 Table A4: Exposure as share of GDP ExposureXauction (-2.00) (-5.45) (-2.39) (-2.48) (-1.42) (-1.44) (-1.47) TranspXauction (-2.82) (-1.88) (-2.03) (-3.38) (-3.22) (-3.22) (-3.07) IlliquidXauction (0.39) (2.22) (1.26) (1.77) (0.41) (0.79) (0.89) ExposureXSP (-3.61) (-4.17) (-5.50) (-3.18) (-2.39) (-2.40) (-2.35) Chg Default (0.72) (1.02) (0.72) (1.28) (3.04) (3.04) (3.04) N R
6 Table A4: BIS Bank Exposure Measure (1) (2) US Bank Exp BIS GDP ExposureXauction (-3.30) (-0.50) TranspXauction (0.79) (-0.75) IlliquidXauction (2.39) (-0.70) ExposureXSP (-3.99) (-2.47) Chg Default (1.51) (1.53) N R
7 Table A6: Euro area aggregated into one country ExposureXauction (-2.17) (-5.03) (-2.99) (-3.81) (-1.39) (-3.38) (-3.49) TranspXauction (-2.12) (-2.58) (-2.09) (-2.10) (-2.06) (-3.14) (-3.16) IlliquidXauction (1.07) (1.01) (1.14) (1.55) (0.75) (1.24) (1.29) ExposureXSP (-5.15) (-4.65) (-6.21) (-21.48) (-4.82) (-16.40) (-15.54) Chg Default (0.34) (0.56) (0.23) (0.64) (1.86) (0.69) (0.71) N R
8 Table A7: Single Word Google Search Results, Foreign Long-Term Debt Word Coeff T-stat R-sq # of countries # of obs arrears balance bankruptcy bond collapse contraction credit crisis ** currency danger debt deficit depression disaster downturn equity exposure failure financial * freeze ** insolvency liability liquidity market overdue recession risk safety shortage stock tax unpaid OLS estimation with robust standard errors. 7
9 Table A8: Google default proxy generated from ad hoc word list ExposureXauction (-2.13) (-4.82) (-3.00) (-4.29) (-1.50) (-3.93) (-4.03) TranspXauction (-2.02) (-2.51) (-2.02) (-2.29) (-2.02) (-3.18) (-3.19) IlliquidXauction (0.99) (1.22) (1.19) (1.94) (0.65) (1.70) (1.77) ExposureXSP (-5.22) (-4.63) (-6.26) (-17.85) (-5.03) (-14.40) (-13.63) chg google old (1.05) (1.38) (1.00) (1.29) (3.17) (1.36) (1.37) N R
10 Table A9: Changes in Exchange Rates added as independent variable pct fx (0.83) (0.45) (0.54) (-0.32) (0.58) (0.24) (0.18) ExposureXauction (-1.95) (-4.83) (-2.67) (-3.95) (-1.31) (-3.48) (-3.61) TranspXauction (-2.14) (-2.71) (-2.15) (-2.37) (-2.25) (-3.23) (-3.24) IlliquidXauction (0.91) (1.23) (1.19) (1.68) (0.61) (1.42) (1.50) ExposureXSP (-5.22) (-4.49) (-6.15) (-18.51) (-4.84) (-14.38) (-13.57) Chg Default (0.52) (0.76) (0.43) (0.84) (2.08) (0.90) (0.92) N R
11 Table A10: Changes in Exchange Rates as dependent variable ExposureXauction (-1.62) (-0.65) (-0.85) (-1.11) (-1.64) (-1.28) (-1.49) TranspXauction (0.59) (0.37) (0.52) (0.61) (1.18) (0.49) (0.54) IlliquidXauction (-2.02) (-2.71) (-1.98) (-2.65) (-0.15) (-2.66) (-2.38) ExposureXSP (-1.25) (-2.86) (-2.03) (-3.87) (-1.25) (-2.75) (-2.15) Chg Default (-0.17) (-0.32) (-0.37) (-0.42) (-0.64) (-0.28) (-0.25) N R
12 Table A11: LIBOR-OIS Spreads as dependent variable ExposureXauction (-1.49) (-0.67) (-1.00) (-2.51) (-1.50) (-2.33) (-1.73) TranspXauction (1.12) (-0.34) (0.11) (0.42) (0.40) (-0.20) (0.03) IlliquidXauction (1.59) (1.32) (1.44) (2.25) (2.00) (1.77) (1.84) ExposureXSP (-0.96) (-2.36) (-1.82) (-2.56) (-2.27) (-2.47) (-2.31) Chg Default (1.73) (1.70) (1.71) (1.68) (1.68) (1.67) (1.68) N R
13 Table A12: Illiquidity proxied by ST Debt/GDP Exposure auction (-2.42) (-4.90) (-2.88) (-3.96) (-1.45) (-3.55) (-3.66) Transp auction (-2.08) (-2.62) (-2.06) (-2.39) (-2.14) (-3.24) (-3.25) ill gdp auction (1.16) (1.20) (1.46) (1.14) (0.91) (1.00) (0.88) Exposure SP (-5.16) (-4.58) (-6.18) (-20.98) (-4.86) (-15.33) (-14.56) Chg Default (0.52) (0.77) (0.43) (0.86) (2.12) (0.91) (0.93) Num of Obs R
14 Table A13: Illiquidity proxied by ST Debt/Reserves Exposure auction (-2.51) (-4.94) (-2.92) (-3.91) (-1.46) (-3.52) (-3.63) Transp auction (-2.12) (-2.66) (-2.09) (-2.42) (-2.18) (-3.27) (-3.28) ill res auction (0.85) (0.22) (0.95) (0.02) (0.44) (-0.02) (-0.12) Exposure SP (-5.19) (-4.58) (-6.20) (-21.05) (-4.87) (-15.37) (-14.61) Chg Default (0.52) (0.76) (0.43) (0.85) (2.11) (0.91) (0.93) Num of Obs R
15 Table A14: Illiquidity proxied by Greenspan-Guidotti measure Exposure auction (-2.13) (-4.04) (-2.23) (-2.16) (-1.03) (-1.19) (-1.40) Transp auction (-0.57) (-0.74) (-0.65) (-0.72) (-0.51) (-0.43) (-0.54) ill GG auction (1.75) (1.51) (1.51) (1.14) (1.46) (1.27) (1.23) Exposure SP (-5.19) (-4.58) (-6.20) (-21.06) (-4.87) (-15.37) (-14.61) Chg Default (0.53) (0.76) (0.44) (0.85) (2.10) (0.91) (0.93) Num of Obs R
16 Table A15: Non-OECD countries only Exposure auction (-2.21) (-3.34) (-1.91) (-2.70) (-0.52) (-2.89) (-3.00) Transp auction (-1.86) (-3.31) (-2.47) (-2.18) (-2.66) (-3.69) (-3.69) Illiquid auction (1.63) (1.74) (1.44) (1.92) (1.19) (2.40) (2.46) Exposure SP (-4.60) (-5.63) (-4.30) (-20.52) (-3.20) (-14.82) (-15.33) Default (-2.47) (-2.63) (-3.04) (-1.77) (0.07) (-1.02) (-0.98) Num of Obs R
17 Table A16: Announcement Dates: Full Specification ExposureXauction (-0.43) (-0.68) (-0.07) (1.13) (-0.43) (0.78) (0.72) TranspXauction (0.70) (0.50) (0.17) (-0.23) (0.47) (0.76) (0.81) IlliquidXauction (-0.58) (1.93) (1.05) (0.10) (1.09) (-0.59) (-0.50) ExposureXdate (-1.62) (0.66) (-0.37) (-0.87) (0.25) (-0.19) (-0.30) TranspXdate (3.33) (2.85) (2.89) (3.30) (2.56) (3.47) (3.49) IlliquidXdate (-1.52) (-2.02) (-1.91) (-1.49) (-3.05) (-2.60) (-2.39) ExposureXdate (-0.10) (-1.36) (-0.61) (-1.74) (-1.06) (-1.29) (-1.41) TranspXdate (-2.34) (-2.12) (-1.92) (-0.99) (-1.40) (-1.78) (-1.81) IlliquidXdate (-0.91) (-1.76) (-1.62) (-0.59) (-0.94) (-0.43) (-0.39) ExposureXdate (-1.24) (-1.15) (-1.26) (-0.75) (-2.07) (0.58) (0.49) TranspXdate (4.99) (5.02) (4.97) (4.83) (5.21) (5.09) (5.11) IlliquidXdate (0.26) (0.18) (0.19) (0.19) (0.31) (0.02) (0.03) ExposureXdate (-1.62) (-3.54) (-2.85) (-8.11) (-1.10) (-6.79) (-6.69) TranspXdate (-6.44) (-6.18) (-5.94) (-7.43) (-4.23) (-8.54) (-8.72) IlliquidXdate (0.52) (-2.09) (-1.24) (0.52) (-0.86) (0.85) (0.69) ExposureXdate (-4.50) (-5.04) (-5.56) (-2.22) (-0.13) (-2.51) (-2.64) TranspXdate (-3.15) (-3.13) (-2.70) (-3.84) (-2.57) (-4.89) (-4.92) IlliquidXdate (1.76) (-1.65) (-0.60) (-1.30) (-1.08) (-0.47) (-0.46) ExposureXSP (-4.74) (-4.88) (-5.72) (-14.65) (-4.50) (-12.32) (-11.08) Chg Default (-0.15) (0.08) (-0.34) (0.28) (1.73) (0.28) (0.30) N R OLS with country fixed effects, monthly time dummies, and robust standard errors. t statistic in parentheses; date11 refers to Dec 12, Lines introduced with ECB and SNB date12 refers to Sep 18, Lines introduced with BOJ, BOE, and Bank of Canada date13 refers to Sep 24, Lines introduced with Australia, Sweden, Denmark, and Norway date14 refers to Oct 28, Lines introduced with NZL, Brazil, Mexico, Korea, and Singapore date2 refers to Oct 13, Unlimited swaps introduced with ECB, BOE, BOJ, and SNB 16
Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis
1 / 36 Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis Andrew K. Rose 1 Mark M. Spiegel 2 1 UC Berkeley 2 Federal Reserve Bank of San Francisco June 1, 2011 Note:
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