Table 3 Linear autoregressive... | Emerald Publishing

Table 3

Linear autoregressive distributed lag model results with survey expectations

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0065*	0.0095	0.0050	0.0006	0.0020
$e c m_{t - 1}$	−0.0174	−0.0355**	−0.0327**	−0.0508***	−0.0423**
$Δ {\tilde{m}}_{t - 1}$	−0.3237**	−0.3102*	−0.1667	−0.1966**	−0.1896
$Δ {\tilde{x}}_{t - 1}$	−0.0015	0.0012	0.0049**	−0.0010	−0.0011
$Δ {\tilde{i}}_{t - 1}$	0.0804***	0.1956***	0.0922***	0.0225***	0.0457***
$Δ {\tilde{y}}_{t - 1}$	0.0061	0.0152	0.0335**	0.0226	0.0176*
${\tilde{m}}_{t - 1}$	0.0175*	0.0123	−0.0021	−0.0110	−0.0123
${\tilde{x}}_{t - 1}$	−0.0017	−0.0054*	0.0002	−0.0021	−0.0008
${\tilde{i}}_{t - 1}$	0.0040	0.0066*	0.0059*	0.0076***	0.0046
${\tilde{y}}_{t - 1}$	0.0139	−0.0058	0.0419**	0.0606***	0.0143

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0065*	0.0095	0.0050	0.0006	0.0020
$e c m_{t - 1}$	−0.0174	−0.0355**	−0.0327**	−0.0508***	−0.0423**
$Δ {\tilde{m}}_{t - 1}$	−0.3237**	−0.3102*	−0.1667	−0.1966**	−0.1896
$Δ {\tilde{x}}_{t - 1}$	−0.0015	0.0012	0.0049**	−0.0010	−0.0011
$Δ {\tilde{i}}_{t - 1}$	0.0804***	0.1956***	0.0922***	0.0225***	0.0457***
$Δ {\tilde{y}}_{t - 1}$	0.0061	0.0152	0.0335**	0.0226	0.0176*
${\tilde{m}}_{t - 1}$	0.0175*	0.0123	−0.0021	−0.0110	−0.0123
${\tilde{x}}_{t - 1}$	−0.0017	−0.0054*	0.0002	−0.0021	−0.0008
${\tilde{i}}_{t - 1}$	0.0040	0.0066*	0.0059*	0.0076***	0.0046
${\tilde{y}}_{t - 1}$	0.0139	−0.0058	0.0419**	0.0606***	0.0143

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0038	−0.0032	−0.0105***	−0.0065	0.0006
$e c m_{t - 1}$	−0.0232**	−0.0118	−0.0520***	−0.0636***	−0.0563***
$Δ {\tilde{m}}_{t - 1}$	−0.0299	−0.2546***	−0.0587	−0.2154*	−0.0333
$Δ {\tilde{x}}_{t - 1}$	0.0001	−0.0001	−0.0032	0.0000	0.0053
$Δ {\tilde{i}}_{t - 1}$	0.0320**	0.0057	0.0947***	0.0148**	0.0115**
$Δ {\tilde{y}}_{t - 1}$	0.0312***	−0.0024	0.0076	0.0095	0.0260**
${\tilde{m}}_{t - 1}$	0.0103	−0.0124	−0.0136	0.0150	0.0406**
${\tilde{x}}_{t - 1}$	−0.0003	0.0015	−0.0079**	0.0000	0.0052
${\tilde{i}}_{t - 1}$	0.0022	0.0014	0.0164**	0.0034	0.0031
${\tilde{y}}_{t - 1}$	0.0407***	0.0129	−0.0076	0.0037	0.0687***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0038	−0.0032	−0.0105***	−0.0065	0.0006
$e c m_{t - 1}$	−0.0232**	−0.0118	−0.0520***	−0.0636***	−0.0563***
$Δ {\tilde{m}}_{t - 1}$	−0.0299	−0.2546***	−0.0587	−0.2154*	−0.0333
$Δ {\tilde{x}}_{t - 1}$	0.0001	−0.0001	−0.0032	0.0000	0.0053
$Δ {\tilde{i}}_{t - 1}$	0.0320**	0.0057	0.0947***	0.0148**	0.0115**
$Δ {\tilde{y}}_{t - 1}$	0.0312***	−0.0024	0.0076	0.0095	0.0260**
${\tilde{m}}_{t - 1}$	0.0103	−0.0124	−0.0136	0.0150	0.0406**
${\tilde{x}}_{t - 1}$	−0.0003	0.0015	−0.0079**	0.0000	0.0052
${\tilde{i}}_{t - 1}$	0.0022	0.0014	0.0164**	0.0034	0.0031
${\tilde{y}}_{t - 1}$	0.0407***	0.0129	−0.0076	0.0037	0.0687***

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