Screenshots of outputs

A. The whole sample

Regression outputs
Dependent 𝛼̂ ̂
𝛽 𝐿𝐼𝑄 𝛾̂𝑦 𝛾̂
𝑇𝑒𝑟𝑚 𝛾̂
𝑑𝐶𝑟𝑒𝑑 𝛾̂
𝑉𝑜𝑙𝑎 𝛾̂
𝑒𝑟𝑚 ̅𝑅̅̅2̅ Ex.liq.
Vairable ̅𝑅̅̅2̅
(𝑦𝑡+1 )
Panel A: ILR Liquidity Measure for the whole sample
dGDP -0.005319 -0.002312 -0.1969 0.0 0.03
(0.00010 (-0.0023 53 570 85
1) 12) (0.049
514)
dUE -0.006656 0.021157 0.28834 0.1 0.08
(0.46056) (0.03455 8 197 71
) (0.0031
9)
dCONSR -0.005013 -0.00482 -0.3869 0.1 0.12
(0.0180) 3 05 508 02
(0.0366) (0.0000
)

dINV -0.009178 -0.00363 -0.5736 0.3 0.33

(0.084) 6 07 265 07
(0.531) (0.0000
)

dGDP -0.005428 -0.00219 -0.1937 0.009 -0.14 0.0 0.02

(0.0539) 8 77 635 4805 388 38
(0.1185) (0.0563 (0.96 (0.67
) 02) 73)
dUE -0.01649 0.02385 0.30707 0.778 -3.04 0.1 0.07
(0.41094 (0.01967 (0.0020 77 019 198 685
) ) 1 (0.57 (0.23
) 666 380
) )
dCONSR -0.007982 -0.00492 -0.3836 0.232 0.356 0.1 0.11
(0.087009 7 59 659 457 399 02
) (0.03749 (0.0001 (0.47 (0.53
6 05 0698) 9759
) ) )
dINV -0.005242 -0.00198 -0.5648 -0.30 -2.51 0.3 0.34
(0.6520) 1 63 3293 4648 334 29
(0.7363 (0.0000 (0.70 (0.08
) ) 80 76
) )

dGDP -0.012838 -0.00260 -0.2506 -0.02 -0.39 0.8167 -0.0 0.1 0.12
(0.00165) 3 26 6932 8668 64 1352 483 18
(0.05148 (0.0109 (0.88 (0.24 (0.011 4
) 1) 451 702 95) (0.4
) ) 5130
)
dUE -0.06621 0.02225 0.28087 0.347 -3.39 0.547863 0.09 0.1 0.11
(0.02455 (0.02672 (0.0061 56 289 (0.021 722 551 81
) ) 4) (0.80 (0.19 71 (0.4
309 107 ) 8527
) ) )
dCONSR -0.003906 -0.00501 -0.3464 0.319 0.104 -0.413 -0.0 0.1 0.11
(0.570712 6 49 277 444 415 4983 434 02
) (0.03462 (0.0006 (0.33 (0.86 (0.458 4
0 07 1640 3418 518 (0.1
) ) ) ) ) 2861
0
 )
dINV -0.028051 -0.00420 -0.5918 2.410 -0.08 2.0781 0.00 0.3 0.34
(0.153 1 15 221 7547 70 1445 395 29
) (0.472) (0.0000 (0.18 (0.93 (0.202 (0.9
) 5 3 ) 85
) ) )

Panel B: ILR Liquidity Measure before crisis 1994-2008

dGDP
dUE
dCONSR
dINV

dGDP
dUE
dCONSR
dINV

dGDP
dUE
dCONSR
dINV

Panel C: ILR Liquidity Measure after crisis 2008-2018

dGDP
dUE
dCONSR
dINV

dGDP
dUE
dCONSR
dINV

dGDP
dUE
dCONSR
dINV
Grangercausality
 Whole Sample Before Crisis After Crisis
1994-2018 1994-2008 2008-2018
N(Observation) 102
Panel A: ILR vs. GDP Growth
𝐻0 : 𝑑𝐺𝐷𝑃 ↛ 𝑑𝐼𝐿𝑅
𝜒2
p-value
𝐻0 : 𝑑𝐼𝐿𝑅 ↛ 𝑑𝐺𝐷𝑃
𝜒2 3.0133

p-value 0.08421

Whole Sample Before Crisis After Crisis

1994-2018 1994-2008 2008-2018
N(Observation)