Table 7 Coefficients’ estimations of a VAR (2) model between the \( {D}_t^{\mathrm{ln}} \) and O_t for recession phases. Top: model for \( {D}_t^{\mathrm{ln}} \). Bottom: model for O_t. Italics: significant results with 5% level

\( {D}_t^{\mathrm{ln}} \)=

Coefficient

p value

 \( {D}_{t-1}^{ln} \)

1.521

0.000

 \( {D}_{t-2}^{ln} \)

− 0.525

0.003

 O_t − 1

0.014

0.271

 O_t − 2

− 0.008

0.589

 Const

0.018

0.819

O_t=

Coefficient

p value

 \( {D}_{t-1}^{\mathrm{ln}} \)

− 1.273

0.546

 \( {D}_{t-2}^{\mathrm{ln}} \)

1.044

0.621

 O_t − 1

0.972

0.000

 O_t − 2

− 0.153

0.441

 Const

2.245

0.036