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

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

Country	Structural oil price	Against the 0.5 quantile		Against the 0.99 quantile
Country	Structural oil price	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***

The bootstrap method is employed to obtain the variance-covariance matrix for this estimator used in Wald test
*, ** and *** denotes coefficients significant at 10, 5 and 1 % level respectively