Table 5 VAR estimation results Dependent... | Emerald Publishing

Table 5

VAR estimation results

	Dependent variable
	ER	RINT	RINF
${E R}_{t - 1}$	0.185 (0.114)	0.001 (0.001)	0.002 (0.002)
${R I N T}_{t - 1}$	2.102 (10.092)	−0.184 (0.111)	−0.177 (0.185)
${R I N F}_{t - 1}$	11.957* (6.110)	0.003 (0.067)	−0.256** (0.112)
${E R}_{t - 2}$	0.479*** (0.107)	0.003*** (0.001)	−0.0003 (0.002)
${R I N T}_{t - 2}$	−19.006* (9.702)	−0.109 (0.107)	−0.229 (0.178)
${R I N F}_{t - 2}$	−2.449 (6.109)	−0.058 (0.067)	−0.356*** (0.112)
R²	0.348	0.143	0.186
Adjusted R²	0.293	0.070	0.118
Residual std. error	0.630	0.007	0.012
F statistic	6.309***	1.968*	2.711**
P-value	<0.001	0.082	0.020

	Dependent variable
	ER	RINT	RINF
${E R}_{t - 1}$	0.185 (0.114)	0.001 (0.001)	0.002 (0.002)
${R I N T}_{t - 1}$	2.102 (10.092)	−0.184 (0.111)	−0.177 (0.185)
${R I N F}_{t - 1}$	11.957* (6.110)	0.003 (0.067)	−0.256** (0.112)
${E R}_{t - 2}$	0.479*** (0.107)	0.003*** (0.001)	−0.0003 (0.002)
${R I N T}_{t - 2}$	−19.006* (9.702)	−0.109 (0.107)	−0.229 (0.178)
${R I N F}_{t - 2}$	−2.449 (6.109)	−0.058 (0.067)	−0.356*** (0.112)
R²	0.348	0.143	0.186
Adjusted R²	0.293	0.070	0.118
Residual std. error	0.630	0.007	0.012
F statistic	6.309***	1.968*	2.711**
P-value	<0.001	0.082	0.020

Note(s): *p < 0.1; **p < 0.05; ***p < 0.01

Source(s): Authors’ own work