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Table 6 Wald tests for equality of slopes (0.01 against 0.5 and 0.99 quantiles)

From: Heterogeneous effects of oil shocks on exchange rates: evidence from a quantile regression approach

Country Structural oil price Against the 0.5 quantile Against the 0.99 quantile
Test statistic p value Test statistic p value
AUS Oil supply shock 0.6217 0.4306 6.2482 0.0126**
  Aggregate demand shock 8.4129 0.0038*** 50.6984 0.0000***
  Oil-specific demand shock 0.9698 0.3249 1.5048 0.2202
EU Oil supply shock 14.1023 0.0001*** 9.9400 0.0017***
  Aggregate demand shock 5.2877 0.0220** 14.4830 0.0001***
  Oil-specific demand shock 0.0315 0.8592 0.3250 0.5689
JAP Oil supply shock 0.2050 0.6507 5.0676 0.0246**
  Aggregate demand shock 6.4541 0.0112** 33.0522 0.0000***
  Oil-specific demand shock 1.1595 0.2818 1.0574 0.3040
CAN Oil supply shock 3.5670 0.0592* 9.8332 0.0017***
  Aggregate demand shock 16.5285 0.0000*** 0.8439 0.3585
  Oil-specific demand shock 0.1873 0.6652 5.7140 0.0170**
MEX Oil supply shock 6.2761 0.0125** 7.1768 0.0076***
  Aggregate demand shock 0.0064 0.9361 0.5681 0.4513
  Oil-specific demand shock 0.0991 0.7530 13.5531 0.0002***
NOR Oil supply shock 0.0237 0.8778 29.5530 0.0000***
  Aggregate demand shock 0.0895 0.7648 4.2635 0.0392**
  Oil-specific demand shock 0.8863 0.3467 1.8353 0.1758
UK Oil supply shock 7.0492 0.0080*** 37.3880 0.0000***
  Aggregate demand shock 35.3164 0.0000*** 37.6230 0.0000***
  Oil-specific demand shock 2.9442 0.0865* 10.4730 0.0012***
  1. The bootstrap method is employed to obtain the variance-covariance matrix for this estimator used in Wald test
  2. *, ** and *** denotes coefficients significant at 10, 5 and 1 % level respectively