Chapter 1

Results
Let us begin with a linear regression model on the automobile trade from Statistics Canada as a baseline.

= 0 + 1 + 2 + 3 + 4 1 + 5 . +

(1.1)

= 0 + 1 + 2 + 3 + 4 1 + 5 . +

(1.2)

= 0 + 1 + 2 + 3 + 4 1 + 5 . +

(1.3)

For the regression results please refer to the appendix (Table A.1-Table A.3).
Oil price supply shock defined by Kilian (2006) are insignificant for the above
regression models. The other two decompositions (demand and oil price shock)
are highly significant for the above 3 equations and lead to a appreciation of the
Canadian currency relative to the U.S. currency. Furthermore, a increase in the
last periods percentage in the exchange rate leads to a significant appreciation
in the current percentage in the exchange rate. Nevertheless, the percentage
in contemporaneous Canadian import, export, and net export are insignificant
in explaining the current log difference of the Canada-US exchange rate. Now,

we will examine the same exact equations as above with the automobile trade
variables replaced with the percentage in the quantities of American crude oil
and gasoline imports.

= 0 + 1 + 2 + 3 + 4 1 + 5 . +

(1.4)

= 0 + 1 + 2 + 3 + 4 1 + 5 . +

(1.5)

We can see from the results (Table A.4-Table A.5) that for the first equation(3)
the oil price shock is again insignificant and that the other two shocks (demand
and oil price shock) are highly significant. However, unlike for the other cases
when the percentage change of quantity American crude oil imports is included
oil demand shock becomes insignificant. Nevertheless, the log difference of the
quantity of American gasoline and crude oil imports are insignificant in explaining the contemporaneous percentage in the Canada-US exchange rate. Lastly,
the lagged percentage in the Canada-US exchange proves to be significant in
predicating the current percentage in the exchange rate. Now, we will look at
the same variables as above but lagged one period (please refer to table Table
A.6-Table A.10).

= 0 + 1 + 2 + 3 + 4 1 + 5 .1 +

(1.6)

= 0 + 1 + 2 + 3 + 4 1 + 5 .1 +

(1.7)

= 0 + 1 + 2 + 3 + 4 1 + 5 .1 +

(1.8)

= 0 + 1 + 2 + 3 + 4 1 + 5 .1 + (1.9)
= 0 + 1 + 2 + 3 + 4 1 + 5 .1 + (1.10)

For equations (1.3)-(1.5) there are no considerable changes when we include the
lagged versions of the automobile trade data. The oil price shocks and lagged

percentage change in the Canada-US exchange rate are are still significant at
the same level and have relatively the same effect per unit of change. For example, in all of the cases a % 100 depreciation in the one period lagged Canadian
exchange relative to the U.S. will led to a statistically significant further depreciation of roughly % 20. Nevertheless, the lagged percentage in Canadian
automobile export and import are significant whereas the net of the two are
insignificant. When we dig deeper we discover that for both the lagged percentage change in exports and imports a %100 increase is indicative of a close to a
%1 appreciation in the Canadian currency relative to the US. Furthermore, we
lack a hypotheses on why exactly a increase in both variables led to an appreciation of the Canadian currency relative to the US. However, the root cause
of this result must be that theses two specific variables are gauging economic
performance. net exports of Canadian automobile trade is more appropriate
in this setting. Lastly, the one period lag of both the percentage change in
American crude oil and motor gasoline are both insignificant in explaining the
current percentage change in the Canada-US exchange rate. Now, we at the the
Markov-switching version of the above models.

, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 ., + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 ., + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 ., + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 ., + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 ., + ,

Let us begin with the oil price supply shock first it is insignificant in all the above
regression model expect the one with the comtemporaous percentage change in
Canadian automobile in imports and only at the 1% level. As for the oil demand

price shock it fluctuates between having an appreciating and depreciating affect

on the the percentage change in the Canada-US currency but always in the same
degree that is between -0.4 and 0.4 percentage change per unit change in the oil
demand shock. This is interesting given the fact that the results from the above
the equations (1.1-1.3) hovered around -0.3 percentage change per unit change
in the oil demand shock. The variation in the oil price that is accounted for by
speculation switches between a state in which it appreciated significantly and
an appreciation that is comparable to the oil price demand shock. However, the
oil price shock never switches between appreciation and depreciation as does oil
demand shock. The only automobile variable that is significant in both regime
is the net Canadian automobile export. Moreover, a %100 increase in the net
Canadian automobile exports leads to approximately a %6 appreciation in the
Canada-US exchange in the first regime and a %3 increase in the second regime.
As for the percentage in change in American crude oil and gasoline imports they
only have a significant impact in one of the two regimes.

, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 .1, + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 .1, + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 .1, + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 .1, + ,
, = 0 + 1 , + 2 , + 3 , + 4 1, + 5 .1, + ,

Appendix A

Appendix: Linear regression

and Autoregression

Table A.1: Independent variables: Oil price shocks (contemporaneous), CanadaUS exchange rate (log difference, lagged one period), Canadian automobile imports (log difference, contemporaneous, seasonal adjusted)
Dependent variable:
CDN.US
0.075
(0.167)

SupplyShock

DemandShock

0.309***
(0.097)

OilPriceShock

0.398***
(0.098)

lag(CDN.US, -1)

0.194***
(0.061)

IM.SA

0.002
(0.005)

Constant

0.008
(0.100)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.149
0.132
1.588 (df = 246)
8.628*** (df = 5; 246)
*

p<0.1;

**

p<0.05;

***

p<0.01

Table A.2: Independent variables: Oil price shocks (contemporaneous), CanadaUS exchange rate (lagged one period, log difference), gross Canadian automobile
exports (contemporaneous, log difference, seasonal adjusted)
Dependent variable:
CDN.US
0.073
(0.167)

SupplyShock

DemandShock

0.309***
(0.097)

OilPriceShock

0.396***
(0.098)

lag(CDN.US, -1)

0.195***
(0.061)

EX.SA

0.001
(0.005)

Constant

0.007
(0.100)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.149
0.132
1.588 (df = 246)
8.614*** (df = 5; 246)
*

p<0.1;

**

p<0.05;

***

p<0.01

Table A.3: Independent variables: Oil price shocks (contemporaneous), CanadaUS exchange rate (log difference, lagged one period), net Canadian automobile
exports (log difference, contemporaneous, seasonal adjusted)
Dependent variable:
CDN.US
0.079
(0.166)

SupplyShock

DemandShock

0.306***
(0.097)

OilPriceShock

0.370***
(0.099)

lag(CDN.US, -1)

0.202***
(0.061)

NET.SA

0.019
(0.013)

Constant

0.010
(0.100)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.156
0.139
1.581 (df = 246)
9.124*** (df = 5; 246)
*

p<0.1;

**

p<0.05;

***

p<0.01

Table A.4: Oil price shocks (contemporaneous), Canada-US exchange rate

(lagged one period, log difference), American motor gasoline imports (contemporaneous, log difference)
Dependent variable:
CDN.US
0.074
(0.167)

SupplyShock

DemandShock

0.309***
(0.097)

OilPriceShock

0.398***
(0.098)

lag(CDN.US, -1)

0.194***
(0.061)

MGIM.R

0.00004
(0.002)

Constant

0.008
(0.100)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.149
0.132
1.588 (df = 246)
8.601*** (df = 5; 246)
*

p<0.1;

**

p<0.05;

***

p<0.01

Table A.5: Oil price shocks (contemporaneous), Canada-US exchange rate (log
difference, lagged one period), American crude oil imports (log difference, contemporaneous)
Dependent variable:
CDN.US
SupplyShock

0.250
(0.309)

DemandShock

0.085
(0.108)

OilPriceShock

1.115***
(0.211)

lag(CDN.US, -1)

0.220*
(0.120)

CCIM.R

0.021
(0.019)

Constant

0.342**
(0.165)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

49
0.449
0.385
1.095 (df = 43)
7.013*** (df = 5; 43)
*

p<0.1;

10

**

p<0.05;

***

p<0.01

Table A.6: Independent variables: Oil price shocks (contemporaneous), CanadaUS exchange rate (lagged one period, log difference), Canadian automobile imports (lagged one period, log difference, seasonal adjusted)
Dependent variable:
CDN.US
0.088
(0.165)

SupplyShock

DemandShock

0.307***
(0.096)

OilPriceShock

0.392***
(0.097)

lag(CDN.US, -1)

0.193***
(0.060)

lag(IM.SA, -1)

0.011**
(0.005)

Constant

0.013
(0.099)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.166
0.149
1.572 (df = 246)
9.766*** (df = 5; 246)
*

p<0.1;

11

**

p<0.05;

***

p<0.01

Table A.7: Independent variables: Oil price shocks (contemporaneous), CanadaUS exchange rate (lagged one period, log difference), gross Canadian automobile
exports (contemporaneous, log difference, seasonal adjusted)
Dependent variable:
CDN.US
0.102
(0.165)

SupplyShock

DemandShock

0.307***
(0.096)

OilPriceShock

0.383***
(0.097)

lag(CDN.US, -1)

0.199***
(0.060)

lag(EX.SA, -1)

0.010**
(0.005)

Constant

0.011
(0.099)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.165
0.148
1.573 (df = 246)
9.692*** (df = 5; 246)
*

p<0.1;

12

**

p<0.05;

***

p<0.01

Table A.8: Independent variables: Oil price shocks (contemporaneous), CanadaUS exchange rate (lagged one period, log difference), net Canadian automobile
exports (lagged one period, log difference, seasonal adjusted)
Dependent variable:
CDN.US
0.081
(0.168)

SupplyShock

DemandShock

0.309***
(0.097)

OilPriceShock

0.394***
(0.098)

lag(CDN.US, -1)

0.197***
(0.061)

lag(NET.SA, -1)

0.004
(0.013)

Constant

0.007
(0.100)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.149
0.132
1.587 (df = 246)
8.630*** (df = 5; 246)
*

p<0.1;

13

**

p<0.05;

***

p<0.01

Table A.9: Oil price shocks (contemporaneous), Canada-US exchange rate

(lagged one period, log difference), American motor gasoline imports (lagged
one period, log difference)
Dependent variable:
CDN.US
0.074
(0.167)

SupplyShock

DemandShock

0.308***
(0.097)

OilPriceShock

0.397***
(0.098)

lag(CDN.US, -1)

0.195***
(0.061)

lag(MGIM.R, -1)

0.0004
(0.002)

Constant

0.008
(0.100)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

252
0.149
0.132
1.588 (df = 246)
8.606*** (df = 5; 246)
*

p<0.1;

14

**

p<0.05;

***

p<0.01

Table A.10: Oil price shocks (contemporaneous), Canada-US exchange rate

(lagged one period, log difference), American crude oil imports (lagged one
period, log difference)
Dependent variable:
CDN.US
SupplyShock

0.264
(0.306)

DemandShock

0.092
(0.109)

OilPriceShock

1.132***
(0.215)

lag(CDN.US, -1)

0.207*
(0.121)

lag(CCIM.R, -1)

0.005
(0.018)

Constant

0.395**
(0.170)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

48
0.449
0.383
1.103 (df = 42)
6.832*** (df = 5; 42)
*

p<0.1;

15

**

p<0.05;

***

p<0.01

Table A.11
Dependent variable:
CDN.US
SupplyShock

0.563
(0.596)

DemandShock

0.327
(0.221)

OilPriceShock

0.050
(0.423)

CDN.US.1

0.025
(0.235)

IM.US.CDN

0.010
(0.015)

Constant

0.104
(0.355)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.170
0.074
1.381 (df = 17)
0.696 (df = 5; 17)
*

p<0.1;

16

**

p<0.05;

***

p<0.01

Table A.12
Dependent variable:
CDN.US
SupplyShock

0.638
(0.600)

DemandShock

0.308
(0.221)

OilPriceShock

0.066
(0.426)

CDN.US.1

0.017
(0.244)

EX.US.CDN

0.007
(0.021)

Constant

0.061
(0.354)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.155
0.093
1.394 (df = 17)
0.625 (df = 5; 17)
*

p<0.1;

17

**

p<0.05;

***

p<0.01

Table A.13
Dependent variable:
CDN.US
SupplyShock

0.634
(0.585)

DemandShock

0.307
(0.216)

OilPriceShock

0.126
(0.420)

CDN.US.1

0.103
(0.250)

IM.CDN.US

0.011
(0.013)

Constant

0.112
(0.360)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.188
0.051
1.366 (df = 17)
0.788 (df = 5; 17)
*

p<0.1;

18

**

p<0.05;

***

p<0.01

Table A.14
Dependent variable:
CDN.US
SupplyShock

0.784
(0.548)

DemandShock

0.219
(0.206)

OilPriceShock

0.012
(0.387)

CDN.US.1

0.082
(0.214)

EX.CDN.US

0.019*
(0.010)

Constant

0.084
(0.306)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.304
0.099
1.265 (df = 17)
1.485 (df = 5; 17)
*

p<0.1;

19

**

p<0.05;

***

p<0.01

Table A.15
Dependent variable:
CDN.US
SupplyShock

0.614
(0.588)

DemandShock

0.247
(0.233)

OilPriceShock

0.003
(0.432)

CDN.US.1

0.044
(0.233)

IM.US.CDN.LAG1

0.013
(0.016)

Constant

0.095
(0.364)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.177
0.064
1.375 (df = 17)
0.734 (df = 5; 17)
*

p<0.1;

20

**

p<0.05;

***

p<0.01

Table A.16
Dependent variable:
CDN.US
SupplyShock

0.550
(0.577)

DemandShock

0.245
(0.219)

OilPriceShock

0.006
(0.415)

CDN.US.1

0.038
(0.225)

EX.US.CDN.LAG1

0.022
(0.019)

Constant

0.133
(0.348)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.215
0.016
1.343 (df = 17)
0.931 (df = 5; 17)
*

p<0.1;

21

**

p<0.05;

***

p<0.01

Table A.17
Dependent variable:
CDN.US
SupplyShock

0.565
(0.601)

DemandShock

0.278
(0.228)

OilPriceShock

0.060
(0.424)

CDN.US.1

0.011
(0.234)

IM.CDN.US.LAG1

0.006
(0.012)

Constant

0.074
(0.380)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.163
0.084
1.387 (df = 17)
0.660 (df = 5; 17)
*

p<0.1;

22

**

p<0.05;

***

p<0.01

Table A.18
Dependent variable:
CDN.US
SupplyShock

0.668
(0.574)

DemandShock

0.230
(0.221)

OilPriceShock

0.011
(0.411)

CDN.US.1

0.159
(0.253)

EX.CDN.US.LAG1

0.014
(0.012)

Constant

0.020
(0.324)

Observations
R2
Adjusted R2
Residual Std. Error
F Statistic
Note:

23
0.220
0.009
1.339 (df = 17)
0.961 (df = 5; 17)
*

p<0.1;

23

**

p<0.05;

***

p<0.01

Appendix B

Appendix: Markov Switching

Regresions

24

Listing B.1: R output

AIC
BIC logLik
148.2 217.1
-62.1
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA ( S )
--Signif . codes : 0

Estimate Std .
0.528
-0.133
0.332
-0.797
0.312
0.007
***

Error t value Pr ( >| t |)

0.155
3.41 0.00066 ***
0.204
-0.65 0.51440
0.079
4.20 0.000026 ***
0.223
-3.57 0.00035 ***
0.085
3.67 0.00024 ***
0.014
0.50 0.61708

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.5469

Multiple R - squared : 0.765
Standardized Residuals :
Min
Q1
Med
-0.79263 -0.33711 -0.03593

Q3
0.28125

Max
0.91175

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA ( S )
--Signif . codes : 0

Estimate Std .
-0.057
1.214
-0.337
-1.816
-0.043
-0.027
***

Error t value Pr ( >| t |)

0.285
-0.20
0.841
0.622
1.95
0.051 .
0.199
-1.69
0.090 .
0.385
-4.72 0.0000024 ***
0.228
-0.19
0.850
0.022
-1.23
0.220

0.001

**

0.01

Residual standard error : 0.8545

Multiple R - squared : 0.774
Standardized Residuals :
Min
Q1
Med
-1.62482 -0.22574 0.09886

Q3
0.31275

Max
1.77349

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.7129
0.6395
Regime 2
0.2871
0.3605

25

0.05

Listing B.2: R output

AIC
BIC logLik
144.3 213.2 -60.17
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . SA ( S )
--Signif . codes : 0

Estimate Std .
0.428
-0.179
0.338
-0.580
0.288
-0.010
***

Error t value
Pr ( >| t |)
0.151
2.83
0.00460 **
0.195
-0.92
0.35862
0.068
4.97 0.00000067 ***
0.183
-3.17
0.00153 **
0.082
3.51
0.00044 ***
0.007
-1.43
0.15300

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.5296

Multiple R - squared : 0.737
Standardized Residuals :
Min
Q1
Med
-0.7876026 -0.2310077 0.0001813

Q3
0.2394507

Max
1.1233118

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . SA ( S )
--Signif . codes : 0

Estimate Std .
-0.053
0.911
-0.416
-2.135
-0.034
-0.025
***

Error t value
Pr ( >| t |)
0.229
-0.23
0.8173
0.579
1.57
0.1157
0.153
-2.72
0.0065 **
0.309
-6.91 0. 00 0 00 0 00 00 0 49 ***
0.168
-0.20
0.8399
0.014
-1.79
0.0741 .

0.001

**

0.01

Residual standard error : 0.7618

Multiple R - squared : 0.838
Standardized Residuals :
Min
Q1
Med
-1.64787 -0.22918 0.05314

Q3
0.27601

Max
1.39054

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.7667
0.4513
Regime 2
0.2333
0.5487

26

0.05

Listing B.3: R output

AIC
BIC logLik
139.3 208.2 -57.66
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
NET . SA ( S )
--Signif . codes : 0

Estimate Std .
-0.094
1.062
-0.446
-2.201
0.000
-0.069
***

Error t value
Pr ( >| t |)
0.089
-1.06
0.2910
0.474
2.24
0.0250
0.137
-3.25
0.0011
0.276
-7.97 0 . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 6
0.094
0.00
1.0000
0.023
-3.00
0.0027

0.001

**

0.01

0.05

*
**
***
**
.

0.1

0.1

Residual standard error : 0.688

Multiple R - squared : 0.869
Standardized Residuals :
Min
Q1
Med
-1.5886 -0.1282 0.0472

Q3
0.2514

Max
1.2726

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
NET . SA ( S )
--Signif . codes : 0

Estimate Std .
0.471
-0.141
0.343
-0.690
0.331
-0.028
***

Error t value
Pr ( >| t |)
0.135
3.49
0.00048 ***
0.174
-0.81
0.41794
0.068
5.04 0.00000046 ***
0.170
-4.06 0.00004928 ***
0.078
4.24 0.00002196 ***
0.014
-2.00
0.04550 *

0.001

**

0.01

Residual standard error : 0.5081

Multiple R - squared : 0.763
Standardized Residuals :
Min
Q1
Med
-0.9079535 -0.2575540 -0.0001465

Q3
0.2670499

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.5047
0.2447
Regime 2
0.4953
0.7553

27

Max
1.0693001

0.05

Listing B.4: R output

AIC BIC logLik
143.1 212 -59.55
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
MGIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.294
-0.103
0.306
-0.610
0.279
0.015
***

Error t value
Pr ( >| t |)
0.102
2.88
0.00395 **
0.155
-0.66
0.50605
0.055
5.56 0.000000026 ***
0.120
-5.08 0.000000372 ***
0.080
3.49
0.00049 ***
0.005
3.00
0.00270 **

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.3421

Multiple R - squared : 0.909
Standardized Residuals :
Min
Q1
Med
-0.567580 -0.065054 0.004033

Q3
0.168784

Max
0.642575

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
MGIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.353
0.597
-0.317
-1.830
0.158
-0.006
***

Error t value Pr ( >| t |)

0.254
1.39
0.1645
0.468
1.28
0.2020
0.187
-1.70
0.0901 .
0.471
-3.88
0.0001 ***
0.181
0.87
0.3827
0.008
-0.75
0.4533

0.001

**

0.01

Residual standard error : 0.9535

Multiple R - squared : 0.651
Standardized Residuals :
Min
Q1
Med
-1.93205 -0.31541 0.09667

Q3
0.40684

Max
1.43135

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.67
0.3447
Regime 2
0.33
0.6553

28

0.05

Listing B.5: R output

AIC
BIC logLik
139.9 208.8 -57.94
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
CCIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.342
-0.104
0.377
-0.450
0.326
0.023
***

Error t value Pr ( >| t |)

0.117
2.92
0.00347 **
0.215
-0.48
0.62839
0.076
4.96 0.0000007 ***
0.159
-2.83
0.00465 **
0.097
3.36
0.00078 ***
0.019
1.21
0.22590

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.5188

Multiple R - squared : 0.775
Standardized Residuals :
Min
Q1
Med
-1.257770 -0.213941 0.002407

Q3
0.269157

Max
0.917514

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
CCIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.281
0.039
-0.385
-1.893
0.162
-0.074
***

Error t value
Pr ( >| t |)
0.171
1.64
0.1004
0.384
0.10
0.9188
0.125
-3.08
0.0021 **
0.229
-8.27 0 . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 2 ***
0.118
1.37
0.1698
0.019
-3.90 0 . 0 0 0 0 9 8 1 9 8 7 2 9 7 7 2 3 5 ***

0.001

**

0.01

Residual standard error : 0.6544

Multiple R - squared : 0.859
Standardized Residuals :
Min
Q1
Med
-1.34191 -0.18155 0.04634

Q3
0.19173

Max
1.12286

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.7889
0.3208
Regime 2
0.2111
0.6792

29

0.05

Listing B.6: R output

AIC
BIC logLik
133.6 202.5 -54.78
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Estimate Std .
0.320
-1.399
-0.439
-1.947
0.011
-0.074
***

Error t value
Pr ( >| t |)
0.243
1.32
0.1878
0.629
-2.22
0.0261 *
0.144
-3.05
0.0023 **
0.431
-4.52 0.00000627 ***
0.200
0.06
0.9561
0.015
-4.93 0.00000081 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4647

Multiple R - squared : 0.938
Standardized Residuals :
Min
Q1
-0.994823442 -0.040811062

Med
0.000001673

Q3
0.182695579

Max
0.815541006

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Estimate Std .
0.388
-0.099
0.330
-0.486
0.333
-0.009
***

Error t value Pr ( >| t |)

0.123
3.15 0.00161 **
0.308
-0.32 0.74821
0.076
4.34 0.000014 ***
0.188
-2.58 0.00974 **
0.099
3.36 0.00077 ***
0.012
-0.75 0.45325

0.001

**

0.01

Residual standard error : 0.5393

Multiple R - squared : 0.739
Standardized Residuals :
Min
Q1
Med
-1.318038 -0.257951 0.006092

Q3
0.215691

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.3847
0.2888
Regime 2
0.6153
0.7112

30

Max
0.897990

0.05

Listing B.7: R output

AIC
BIC
logLik
135.8385 204.7473 -55.91926
Coefficients :
Regime 1
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.3276
0.1853 1.7679 0.077078
SupplyShock ( S )
0.1774
0.3827 0.4635 0.643006
DemandShock ( S )
-0.3024
0.1438 -2.1029 0.035475
OilPriceShock ( S ) -1.2461
0.2192 -5.6848 1.31 e -08
CDN . US .1( S )
0.1431
0.1399 1.0229 0.306355
EX . SA .1( S )
-0.0309
0.0106 -2.9151 0.003556
--Signif . codes : 0
***
0.001
**
0.01
*

.
*
***
**
0.05

0.1

0.1

Residual standard error : 0.8732299

Multiple R - squared : 0.7034
Standardized Residuals :
Min
Q1
-1.94529090 -0.31928656

Med
0.09400356

Q3
0.38984292

Max
1.32636339

Regime 2
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.1331
0.0990 1.3444
0.1788
SupplyShock ( S )
-0.0950
0.1382 -0.6874
0.4918
DemandShock ( S )
0.4369
0.0463 9.4363 < 2e -16 ***
OilPriceShock ( S ) -0.0162
0.1470 -0.1102
0.9123
CDN . US .1( S )
0.3594
0.0587 6.1227 9.2 e -10 ***
EX . SA .1( S )
-0.0007
0.0047 -0.1489
0.8816
--Signif . codes : 0
***
0.001
**
0.01
*
0.05
Residual standard error : 0.2745129
Multiple R - squared : 0.9343
Standardized Residuals :
Min
Q1
Med
-4.328277 e -01 -1.081919 e -01 -3.286157 e -14
Transition probabilities :
Regime 1 Regime 2
Regime 1 0.780725 0.2674927
Regime 2 0.219275 0.7325073

31

Q3
4.560732 e -02

Max
6.123939 e -01

Listing B.8: R output

AIC
BIC
logLik
140.4443 209.3532 -58.22217
Coefficients :
Regime 1
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.1026
0.1389
0.7387 0.460089
SupplyShock ( S )
1.8959
0.3196
5.9321 2.991 e -09
DemandShock ( S )
-0.7440
0.1091
-6.8194 9.142 e -12
OilPriceShock ( S ) -2.5129
0.2227 -11.2838 < 2.2 e -16
CDN . US .1( S )
0.2853
0.1000
2.8530 0.004331
NET . SA .1( S )
0.1128
0.0205
5.5024 3.747 e -08
--Signif . codes : 0
***
0.001
**
0.01
*

***
***
***
**
***
0.05

0.1

0.1

Residual standard error : 0.4632804

Multiple R - squared : 0.942
Standardized Residuals :
Min
Q1
-1.0596289936 -0.0217617287

Med
0.0000449793

Q3
0.0838274968

Max
0.5810023528

Regime 2
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.3859
0.1447 2.6669 0.0076554 **
SupplyShock ( S )
-0.0142
0.2194 -0.0647 0.9484129
DemandShock ( S )
0.2875
0.0791 3.6346 0.0002784 ***
OilPriceShock ( S ) -0.7114
0.1944 -3.6595 0.0002527 ***
CDN . US .1( S )
0.3443
0.1006 3.4225 0.0006205 ***
NET . SA .1( S )
0.0101
0.0156 0.6474 0.5173731
--Signif . codes : 0
***
0.001
**
0.01
*
0.05
Residual standard error : 0.6523649
Multiple R - squared : 0.6433
Standardized Residuals :
Min
Q1
Med
-1.560777838 -0.375835694 -0.006192836
Transition probabilities :
Regime 1 Regime 2
Regime 1 0.6401617 0.150033
Regime 2 0.3598383 0.849967

32

Q3
0.345825584

Max
1.167611195

Listing B.9: R output

AIC
BIC
logLik
140.3552 209.2641 -58.17761
Coefficients :
Regime 1
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.1997
0.2565 0.7786
0.43622
SupplyShock ( S )
1.0439
0.4942 2.1123
0.03466 *
DemandShock ( S )
-0.3625
0.1727 -2.0990
0.03582 *
OilPriceShock ( S ) -2.1933
0.3540 -6.1958 5.799 e -10 ***
CDN . US .1( S )
0.2005
0.1812 1.1065
0.26851
MGIM . R .1( S )
0.0102
0.0080 1.2750
0.20231
--Signif . codes : 0
***
0.001
**
0.01
*
0.05

0.1

0.1

Residual standard error : 0.768282

Multiple R - squared : 0.833
Standardized Residuals :
Min
Q1
Med
-1.5467595 -0.2131154 0.0979899

Q3
0.2316515

Max
1.0193386

Regime 2
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.4100
0.1309 3.1322 0.001735
SupplyShock ( S )
-0.1055
0.1754 -0.6015 0.547507
DemandShock ( S )
0.2993
0.0644 4.6475 3.360 e -06
OilPriceShock ( S ) -0.5196
0.1707 -3.0439 0.002335
CDN . US .1( S )
0.3963
0.0858 4.6189 3.858 e -06
MGIM . R .1( S )
-0.0117
0.0037 -3.1622 0.001566
--Signif . codes : 0
***
0.001
**
0.01
*

**
***
**
***
**
0.05

Residual standard error : 0.4982375

Multiple R - squared : 0.7834
Standardized Residuals :
Min
Q1
-0.935804826 -0.275417168

Med
0.001435069

Transition probabilities :
Regime 1 Regime 2
Regime 1 0.5722977 0.206155
Regime 2 0.4277023 0.793845

33

Q3
0.254291971

Max
1.027796818

Listing B.10: R output

AIC
BIC
logLik
140.3552 209.2641 -58.17761
Coefficients :
Regime 1
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.1997
0.2565 0.7786
0.43622
SupplyShock ( S )
1.0439
0.4942 2.1123
0.03466 *
DemandShock ( S )
-0.3625
0.1727 -2.0990
0.03582 *
OilPriceShock ( S ) -2.1933
0.3540 -6.1958 5.799 e -10 ***
CDN . US .1( S )
0.2005
0.1812 1.1065
0.26851
MGIM . R .1( S )
0.0102
0.0080 1.2750
0.20231
--Signif . codes : 0
***
0.001
**
0.01
*
0.05

0.1

0.1

Residual standard error : 0.768282

Multiple R - squared : 0.833
Standardized Residuals :
Min
Q1
Med
-1.5467595 -0.2131154 0.0979899

Q3
0.2316515

Max
1.0193386

Regime 2
--------Estimate Std . Error t value Pr ( >| t |)
( Intercept )( S )
0.4100
0.1309 3.1322 0.001735
SupplyShock ( S )
-0.1055
0.1754 -0.6015 0.547507
DemandShock ( S )
0.2993
0.0644 4.6475 3.360 e -06
OilPriceShock ( S ) -0.5196
0.1707 -3.0439 0.002335
CDN . US .1( S )
0.3963
0.0858 4.6189 3.858 e -06
MGIM . R .1( S )
-0.0117
0.0037 -3.1622 0.001566
--Signif . codes : 0
***
0.001
**
0.01
*

**
***
**
***
**
0.05

Residual standard error : 0.4982375

Multiple R - squared : 0.7834
Standardized Residuals :
Min
Q1
-0.935804826 -0.275417168

Med
0.001435069

Transition probabilities :
Regime 1 Regime 2
Regime 1 0.5722977 0.206155
Regime 2 0.4277023 0.793845

34

Q3
0.254291971

Max
1.027796818

Listing B.11: R output

AIC
BIC logLik
139.9 208.8 -57.94
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
CCIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.281
0.039
-0.385
-1.893
0.162
-0.074
***

Error t value
Pr ( >| t |)
0.171
1.64
0.1004
0.384
0.10
0.9188
0.125
-3.08
0.0021 **
0.229
-8.27 0 . 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 2 2 ***
0.118
1.37
0.1698
0.019
-3.90 0 . 0 0 0 0 9 8 1 9 8 7 2 9 7 7 2 3 5 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.6544

Multiple R - squared : 0.859
Standardized Residuals :
Min
Q1
Med
-1.34191 -0.18155 0.04634

Q3
0.19173

Max
1.12286

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
CCIM . R ( S )
--Signif . codes : 0

Estimate Std .
0.342
-0.104
0.377
-0.450
0.326
0.023
***

Error t value Pr ( >| t |)

0.117
2.92
0.00347 **
0.215
-0.48
0.62839
0.076
4.96 0.0000007 ***
0.159
-2.83
0.00465 **
0.097
3.36
0.00078 ***
0.019
1.21
0.22590

0.001

**

0.01

Residual standard error : 0.5188

Multiple R - squared : 0.775
Standardized Residuals :
Min
Q1
Med
-1.257770 -0.213941 0.002407

Q3
0.269157

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.6792
0.2111
Regime 2
0.3208
0.7889

35

Max
0.917514

0.05

Listing B.12: R output

AIC
BIC logLik
133.6 202.5 -54.78
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Estimate Std .
0.318
-1.406
-0.437
-1.952
0.013
-0.074
***

Error t value Pr ( >| t |)

0.255
1.25
0.2124
0.650
-2.16
0.0305 *
0.149
-2.93
0.0034 **
0.459
-4.25 0.0000211 ***
0.216
0.06
0.9522
0.016
-4.62 0.0000037 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4638

Multiple R - squared : 0.938
Standardized Residuals :
Min
Q1
-0.991514058 -0.039244594

Med
0.000001486

Q3
0.188378714

Max
0.815583064

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . SA .1( S )
--Signif . codes : 0

Estimate Std .
0.388
-0.097
0.331
-0.487
0.333
-0.009
***

Error t value Pr ( >| t |)

0.124
3.13 0.00175 **
0.317
-0.31 0.75960
0.076
4.36 0.000013 ***
0.189
-2.58 0.00997 **
0.099
3.36 0.00077 ***
0.013
-0.69 0.48894

0.001

**

0.01

Residual standard error : 0.5395

Multiple R - squared : 0.74
Standardized Residuals :
Min
Q1
Med
-1.320634 -0.258109 0.006112

Q3
0.216696

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.3791
0.2912
Regime 2
0.6209
0.7088

36

Max
0.900276

0.05

Listing B.13: R output

AIC
BIC logLik
63.88 115.1 -19.94
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-0.241
1.485
-0.282
1.002
0.479
0.008
***

Error t value
Pr ( >| t |)
0.160
-1.51
0.13207
0.374
3.97 0.000071572 ***
0.076
-3.71
0.00021 ***
0.186
5.39 0.000000072 ***
0.109
4.39 0.000011128 ***
0.006
1.33
0.18253

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4252

Multiple R - squared : 0.876
Standardized Residuals :
Min
Q1
Med
-0.6162533 -0.1499221 -0.0007075

Q3
0.0718149

Max
1.0133640

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-0.816
-0.236
-1.538
-1.550
-0.509
0.054
***

Error t value Pr ( >| t |)

0.106
-7.70 1.4 e -14 ***
0.127
-1.86
0.063 .
0.116
-13.26 < 2e -16 ***
0.122
-12.70 < 2e -16 ***
0.064
-7.95 1.8 e -15 ***
0.005
10.80 < 2e -16 ***

0.001

**

0.01

Residual standard error : 0.2095

Multiple R - squared : 0.971
Standardized Residuals :
Min
Q1
Med
-3.133 e -01 -7.309 e -04 3.775 e -76

Q3
3.499 e -02

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.5912
0.3877
Regime 2
0.4088
0.6123

37

Max
4.021 e -01

0.05

Listing B.14: R output

AIC
BIC logLik
65.33 116.6 -20.67
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-1.254
3.446
-0.213
1.271
0.128
0.067
***

Error t value Pr ( >| t |)

0.450
-2.79
0.0053 **
0.811
4.25 0.000021 ***
0.136
-1.57
0.1173
0.321
3.96 0.000075 ***
0.185
0.69
0.4889
0.027
2.48
0.0131 *

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.5599

Multiple R - squared : 0.817
Standardized Residuals :
Min
Q1
-0.73353520 -0.07918028

Med
0.00007834

Q3
0.05838240

Max
0.90958552

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . US . CDN ( S )
--Signif . codes : 0

Estimate Std .
-0.186
-0.737
-0.224
-1.516
-0.720
0.040
***

Error t value
Pr ( >| t |)
0.102
-1.82
0.068 .
0.179
-4.12 0.000038384 ***
0.091
-2.46
0.014 *
0.163
-9.30
< 2e -16 ***
0.086
-8.37
< 2e -16 ***
0.007
5.71 0.000000011 ***

0.001

**

0.01

Residual standard error : 0.3376

Multiple R - squared : 0.912
Standardized Residuals :
Min
Q1
Med
-4.679 e -01 -1.905 e -01 1.731 e -14

Q3
1.765 e -01

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.7517 0.07097
Regime 2
0.2483 0.92903

38

Max
6.695 e -01

0.05

Listing B.15: R output

AIC
BIC logLik
65.5 116.8 -20.75
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.945
-1.441
0.325
-1.015
0.377
0.080
***

Error t value
Pr ( >| t |)
0.247
3.83
0.00013 ***
0.492
-2.93
0.00340 **
0.109
2.98
0.00286 **
0.244
-4.16 0.000031825 ***
0.147
2.56
0.01032 *
0.014
5.71 0.000000011 ***

0.001

**

0.01

0.05

0.1

0.1

Residual standard error : 0.4434

Multiple R - squared : 0.886
Standardized Residuals :
Min
Q1
Med
Q3
Max
-1.0915793285841 -0.0016061558806 -0.0000000001339
0 .6 55 4 13 54 6 56 1 0

0 .0 0 00 0 00 33 9 33 9

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.313
1.898
-0.175
0.329
-0.021
-0.024
***

Error t value
Pr ( >| t |)
0.180
1.74
0.082 .
0.292
6.50 0.00000000008 ***
0.140
-1.25
0.211
0.242
1.36
0.174
0.126
-0.17
0.867
0.005
-4.80 0.00000158666 ***

0.001

**

0.01

0.05

Residual standard error : 0.4973

Multiple R - squared : 0.849
Standardized Residuals :
Min
Q1
Med
-0.95551363615 -0.12713776359 -0.00000004527
Transition probabilities :
Regime 1 Regime 2
Regime 1 0.00000001964
0.8403
Regime 2 0.99999998036
0.1597

39

Q3
0.11723069513

Max
0.89661728808

Listing B.16: R output

AIC
BIC logLik
63.1 114.4 -19.55
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.582
-0.958
0.173
-0.739
0.563
0.038
***

Error t value
Pr ( >| t |)
0.262
2.22
0.02635
0.406
-2.36
0.01827
0.161
1.07
0.28237
0.276
-2.68
0.00741
0.167
3.37
0.00075
0.007
5.43 0.000000057

0.001

**

0.01

*
*
**
***
***
0.05

0.1

0.1

Residual standard error : 0.6161

Multiple R - squared : 0.781
Standardized Residuals :
Min
Q1
Med
-0.9945240 -0.0374590 -0.0001386

Q3
0.2826141

Max
0.6992782

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US ( S )
--Signif . codes : 0

Estimate Std .
0.035
2.681
0.053
0.814
-0.007
0.002
***

Error t value Pr ( >| t |)

0.123
0.28
0.78
0.235
11.41
< 2e -16 ***
0.095
0.56
0.58
0.177
4.60 0.0000042 ***
0.079
-0.09
0.93
0.005
0.40
0.69

0.001

**

0.01

0.05

Residual standard error : 0.3104

Multiple R - squared : 0.938
Standardized Residuals :
Min
Q1
Med
Max
-0.415729626772 -0.080260673220 -0.000000004596
0.51 918318 1420
Transition probabilities :
Regime 1 Regime 2
Regime 1
0.1007 0.92012
Regime 2
0.8993 0.07988

40

Q3
0 .03512 982352 8

Listing B.17: R output

AIC
BIC logLik
55.24 106.5 -15.62
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
-0.283
1.237
-0.307
1.093
0.450
0.009
***

Error t value Pr ( >| t |)

0.279
-1.01 0.31058
0.441
2.81 0.00503
0.120
-2.56 0.01053
0.327
3.34 0.00083
0.182
2.47 0.01340
0.006
1.50 0.13361

0.001

**

0.01

**
*
***
*

0.05

0.1

0.1

Residual standard error : 0.5479

Multiple R - squared : 0.774
Standardized Residuals :
Min
Q1
Med
-0.896257 -0.198624 -0.001682

Q3
0.130024

Max
1.450799

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
IM . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
0.716
-1.214
-0.363
-0.504
-0.408
-0.073
***

Error t value Pr ( >| t |)

0.068
10.53
<2e -16 ***
0.082
-14.80
<2e -16 ***
0.034
-10.68
<2e -16 ***
0.054
-9.33
<2e -16 ***
0.035
-11.66
<2e -16 ***
0.003
-24.33
<2e -16 ***

0.001

**

0.01

Residual standard error : 0.1038

Multiple R - squared : 0.994
Standardized Residuals :
Min
Q1
Med
-1.533 e -01 -1.439 e -02 -2.814 e -61

Q3
2.859 e -18

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.4449
0.8198
Regime 2
0.5551
0.1802

41

Max
1.659 e -01

0.05

Listing B.18: R output

AIC
BIC logLik
73.93 125.2 -24.96
Coefficients :
Regime 1
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
0.252
2.597
0.072
0.790
0.504
-0.035
***

Error t value
Pr ( >| t |)
0.147
1.71
0.087 .
0.213
12.19
< 2e -16 ***
0.082
0.88
0.380
0.142
5.56 0.000000027 ***
0.099
5.09 0.000000356 ***
0.007
-5.00 0.000000573 ***

0.001

**

0.01

0.05

0.1

0.05

0.1

Residual standard error : 0.3269

Multiple R - squared : 0.943
Standardized Residuals :
Min
Q1
Med
-4.130 e -01 -1.376 e -01 -3.940 e -19

Q3
8.346 e -02

Max
7.351 e -01

Regime 2
--------( Intercept )( S )
SupplyShock ( S )
DemandShock ( S )
OilPriceShock ( S )
CDN . US .1( S )
EX . CDN . US . LAG1 ( S )
--Signif . codes : 0

Estimate Std .
-0.089
-0.495
-0.480
-0.980
-0.203
-0.007
***

Error t value Pr ( >| t |)

0.247
-0.36
0.719
0.550
-0.90
0.368
0.285
-1.68
0.092 .
0.390
-2.51
0.012 *
0.197
-1.03
0.303
0.006
-1.17
0.243

0.001

**

0.01

Residual standard error : 0.5904

Multiple R - squared : 0.691
Standardized Residuals :
Min
Q1
Med
-1.101227 -0.228083 0.001785

Q3
0.291669

Transition probabilities :
Regime 1 Regime 2
Regime 1
0.5768
0.4856
Regime 2
0.4232
0.5144

42

Max
0.862396

Bibliography
Kilian, Lutz. 2006. Not all oil price shocks are alike: Disentangling demand and
supply shocks in the crude oil market.

43