Table 2 Linear autoregressive... | Emerald Publishing

Table 2

Linear autoregressive distributed lag model results with market expectations

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0042	0.0067	0.0045	−0.0005	−0.0010
$e c m_{t - 1}$	−0.0110	−0.0242*	−0.0306**	−0.0450***	−0.0475***
$Δ {\tilde{m}}_{t - 1}$	−0.3343**	−0.3279*	−0.1452	−0.1924**	−0.1213
$Δ {\tilde{x}}_{t - 1}$	0.0041	0.0108*	0.0054	−0.0005	0.0001
$Δ {\tilde{i}}_{t - 1}$	0.0797***	0.1908***	0.1057***	0.0234***	0.0439***
$Δ {\tilde{y}}_{t - 1}$	0.0044	0.0172	0.0321**	0.0230	0.0134
${\tilde{m}}_{t - 1}$	−0.0163	0.0080	0.0055	−0.0103	−0.0046
${\tilde{x}}_{t - 1}$	−0.0004	−0.0007	−0.0008	0.0001	0.0030
${\tilde{i}}_{t - 1}$	0.0019	0.0054	0.0056*	0.0076***	0.0041
${\tilde{y}}_{t - 1}$	0.0097	−0.0067	0.0364**	0.0610**	0.0063

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0042	0.0067	0.0045	−0.0005	−0.0010
$e c m_{t - 1}$	−0.0110	−0.0242*	−0.0306**	−0.0450***	−0.0475***
$Δ {\tilde{m}}_{t - 1}$	−0.3343**	−0.3279*	−0.1452	−0.1924**	−0.1213
$Δ {\tilde{x}}_{t - 1}$	0.0041	0.0108*	0.0054	−0.0005	0.0001
$Δ {\tilde{i}}_{t - 1}$	0.0797***	0.1908***	0.1057***	0.0234***	0.0439***
$Δ {\tilde{y}}_{t - 1}$	0.0044	0.0172	0.0321**	0.0230	0.0134
${\tilde{m}}_{t - 1}$	−0.0163	0.0080	0.0055	−0.0103	−0.0046
${\tilde{x}}_{t - 1}$	−0.0004	−0.0007	−0.0008	0.0001	0.0030
${\tilde{i}}_{t - 1}$	0.0019	0.0054	0.0056*	0.0076***	0.0041
${\tilde{y}}_{t - 1}$	0.0097	−0.0067	0.0364**	0.0610**	0.0063

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0021	−0.0037	−0.0062**	−0.0062	0.0018
$e c m_{t - 1}$	−0.0194*	−0.0133	−0.0505***	−0.0637***	−0.0585***
$Δ {\tilde{m}}_{t - 1}$	−0.0357	−0.2634***	0.0251	−0.2119*	−0.0499
$Δ {\tilde{x}}_{t - 1}$	−0.0092	−0.0031	0.0527	−0.0034	−0.0042
$Δ {\tilde{i}}_{t - 1}$	0.0305**	0.0044	0.1407***	0.0127*	0.0104*
$Δ {\tilde{y}}_{t - 1}$	0.0325***	−0.0018	0.0135	0.0108	0.0236*
${\tilde{m}}_{t - 1}$	−0.0139	−0.0121	−0.0073	0.0154	0.0402**
${\tilde{x}}_{t - 1}$	0.00005	−0.00007	0.0042	0.0007	0.0004
${\tilde{i}}_{t - 1}$	0.0028	0.0020	0.0184	0.0037	0.0037*
${\tilde{y}}_{t - 1}$	0.0424***	0.0141	0.0010	0.0067	0.0609***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0021	−0.0037	−0.0062**	−0.0062	0.0018
$e c m_{t - 1}$	−0.0194*	−0.0133	−0.0505***	−0.0637***	−0.0585***
$Δ {\tilde{m}}_{t - 1}$	−0.0357	−0.2634***	0.0251	−0.2119*	−0.0499
$Δ {\tilde{x}}_{t - 1}$	−0.0092	−0.0031	0.0527	−0.0034	−0.0042
$Δ {\tilde{i}}_{t - 1}$	0.0305**	0.0044	0.1407***	0.0127*	0.0104*
$Δ {\tilde{y}}_{t - 1}$	0.0325***	−0.0018	0.0135	0.0108	0.0236*
${\tilde{m}}_{t - 1}$	−0.0139	−0.0121	−0.0073	0.0154	0.0402**
${\tilde{x}}_{t - 1}$	0.00005	−0.00007	0.0042	0.0007	0.0004
${\tilde{i}}_{t - 1}$	0.0028	0.0020	0.0184	0.0037	0.0037*
${\tilde{y}}_{t - 1}$	0.0424***	0.0141	0.0010	0.0067	0.0609***

Note(s): *significant at 10% level, **significant at 5% level, ***significant at 1% level. Standard errors in parentheses