Table 5 Nonlinear autoregressive... | Emerald Publishing

Table 5

Nonlinear autoregressive distributed lag model results with market expectations

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0535***	0.0421**	0.0712**	0.0385***	0.0448**
$e c m_{t - 1}$	−0.0495***	−0.0323**	−0.0320**	−0.0964***	−0.0812***
$Δ q_{t - 1}$	0.1209**	0.1036*	0.1566***	0.0590	0.2128***
$Δ {\tilde{m}}_{t - 1}^{+}$	−0.3480**	−0.3823**	0.0736	−0.3515*	0.1158
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.5562	−5.0506***	−0.0221	−0.2752	−1.1064
$Δ {\tilde{x}}_{t - 1}^{+}$	−0.0140*	−0.0249**	−0.0007**	−0.0041	0.0235***
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0040	0.0159*	0.0000	0.0067	−0.0027
${\tilde{Δ i}}_{t - 1}^{+}$	0.0298	0.1516***	0.0116	−0.0120*	0.0169
$Δ {\tilde{i}}_{t - 1}^{-}$	0.0131	0.0250	0.0429*	0.0646***	0.0151
$Δ {\tilde{y}}_{t - 1}^{+}$	−0.0002	−0.0148	−0.0310	0.0172	−0.0119
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0016	0.0292	0.0086	0.0061	−0.0528*
${\tilde{m}}_{t - 1}^{+}$	−0.0767***	−0.0303	−0.0398	−0.0907**	−0.0810**
${\tilde{m}}_{t - 1}^{-}$	0.2276***	1.1015	0.0377*	0.0677*	0.2629
${\tilde{x}}_{t - 1}^{+}$	−0.0020	−0.0061	−0.0004**	0.0002	−0.0005
${\tilde{x}}_{t - 1}^{-}$	0.0002	−0.0039	0.0000	0.0017	0.0125
${\tilde{i}}_{t - 1}^{+}$	−0.0020	0.0084	−0.0131	0.0039	0.0041
${\tilde{i}}_{t - 1}^{-}$	−0.0003	0.0036	0.0059	0.0155*	0.0097
${\tilde{y}}_{t - 1}^{+}$	−0.0119	−0.0213	0.0369	−0.0146	−0.0119
${\tilde{y}}_{t - 1}^{-}$	0.0975	0.0314	0.0028	0.0689	0.0571

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0535***	0.0421**	0.0712**	0.0385***	0.0448**
$e c m_{t - 1}$	−0.0495***	−0.0323**	−0.0320**	−0.0964***	−0.0812***
$Δ q_{t - 1}$	0.1209**	0.1036*	0.1566***	0.0590	0.2128***
$Δ {\tilde{m}}_{t - 1}^{+}$	−0.3480**	−0.3823**	0.0736	−0.3515*	0.1158
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.5562	−5.0506***	−0.0221	−0.2752	−1.1064
$Δ {\tilde{x}}_{t - 1}^{+}$	−0.0140*	−0.0249**	−0.0007**	−0.0041	0.0235***
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0040	0.0159*	0.0000	0.0067	−0.0027
${\tilde{Δ i}}_{t - 1}^{+}$	0.0298	0.1516***	0.0116	−0.0120*	0.0169
$Δ {\tilde{i}}_{t - 1}^{-}$	0.0131	0.0250	0.0429*	0.0646***	0.0151
$Δ {\tilde{y}}_{t - 1}^{+}$	−0.0002	−0.0148	−0.0310	0.0172	−0.0119
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0016	0.0292	0.0086	0.0061	−0.0528*
${\tilde{m}}_{t - 1}^{+}$	−0.0767***	−0.0303	−0.0398	−0.0907**	−0.0810**
${\tilde{m}}_{t - 1}^{-}$	0.2276***	1.1015	0.0377*	0.0677*	0.2629
${\tilde{x}}_{t - 1}^{+}$	−0.0020	−0.0061	−0.0004**	0.0002	−0.0005
${\tilde{x}}_{t - 1}^{-}$	0.0002	−0.0039	0.0000	0.0017	0.0125
${\tilde{i}}_{t - 1}^{+}$	−0.0020	0.0084	−0.0131	0.0039	0.0041
${\tilde{i}}_{t - 1}^{-}$	−0.0003	0.0036	0.0059	0.0155*	0.0097
${\tilde{y}}_{t - 1}^{+}$	−0.0119	−0.0213	0.0369	−0.0146	−0.0119
${\tilde{y}}_{t - 1}^{-}$	0.0975	0.0314	0.0028	0.0689	0.0571

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0047	−0.0087**	0.0231**	−0.0260***	−0.0016
$e c m_{t - 1}$	−0.0220*	−0.0219**	−0.1404***	−0.0751***	−0.0772***
$Δ q_{t - 1}$	0.2022***	0.1597***	0.2957***	0.2370***	0.2639***
$Δ {\tilde{m}}_{t - 1}^{+}$	0.1896	−0.9054**	−0.2036	−0.0050	−0.1541
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.8428	−0.1397	0.2285	0.0004	−0.0114
$Δ {\tilde{x}}_{t - 1}^{+}$	0.0161	0.0077	0.1314***	−0.0052	0.0099
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0171	0.0141	−0.0272	0.0138***	−0.0006
${\tilde{Δ i}}_{t - 1}^{+}$	−0.0498	−0.0086	−0.0485	−0.0011	−0.0015
$Δ {\tilde{i}}_{t - 1}^{-}$	−0.0064	0.0060	0.0270	0.1252***	0.0767***
$Δ {\tilde{y}}_{t - 1}^{+}$	−0.0088	0.0036	−0.0118	−0.0427	0.0022
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0169	0.0060	0.0198	0.0124	−0.0236
${\tilde{m}}_{t - 1}^{+}$	−0.0048	1.3986***	0.1098	0.0000	−0.1236
${\tilde{m}}_{t - 1}^{-}$	0.0916	−0.0229	0.0693***	−0.0004	0.0325*
${\tilde{x}}_{t - 1}^{+}$	−0.0005	−0.0065	−0.0279*	0.0024	−0.0003
${\tilde{x}}_{t - 1}^{-}$	−0.0004	−0.0078	−0.0193	−0.0011	−0.0008
${\tilde{i}}_{t - 1}^{+}$	0.0267	−0.0016	0.0096	0.0026	0.0007
${\tilde{i}}_{t - 1}^{-}$	−0.0009	0.0077	−0.0068	−0.0095	0.0014
${\tilde{y}}_{t - 1}^{+}$	0.0295	0.0155	0.0269	0.0355	−0.0064
${\tilde{y}}_{t - 1}^{-}$	0.0029	0.0253	−0.0384**	0.0194	0.0991***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0047	−0.0087**	0.0231**	−0.0260***	−0.0016
$e c m_{t - 1}$	−0.0220*	−0.0219**	−0.1404***	−0.0751***	−0.0772***
$Δ q_{t - 1}$	0.2022***	0.1597***	0.2957***	0.2370***	0.2639***
$Δ {\tilde{m}}_{t - 1}^{+}$	0.1896	−0.9054**	−0.2036	−0.0050	−0.1541
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.8428	−0.1397	0.2285	0.0004	−0.0114
$Δ {\tilde{x}}_{t - 1}^{+}$	0.0161	0.0077	0.1314***	−0.0052	0.0099
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0171	0.0141	−0.0272	0.0138***	−0.0006
${\tilde{Δ i}}_{t - 1}^{+}$	−0.0498	−0.0086	−0.0485	−0.0011	−0.0015
$Δ {\tilde{i}}_{t - 1}^{-}$	−0.0064	0.0060	0.0270	0.1252***	0.0767***
$Δ {\tilde{y}}_{t - 1}^{+}$	−0.0088	0.0036	−0.0118	−0.0427	0.0022
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0169	0.0060	0.0198	0.0124	−0.0236
${\tilde{m}}_{t - 1}^{+}$	−0.0048	1.3986***	0.1098	0.0000	−0.1236
${\tilde{m}}_{t - 1}^{-}$	0.0916	−0.0229	0.0693***	−0.0004	0.0325*
${\tilde{x}}_{t - 1}^{+}$	−0.0005	−0.0065	−0.0279*	0.0024	−0.0003
${\tilde{x}}_{t - 1}^{-}$	−0.0004	−0.0078	−0.0193	−0.0011	−0.0008
${\tilde{i}}_{t - 1}^{+}$	0.0267	−0.0016	0.0096	0.0026	0.0007
${\tilde{i}}_{t - 1}^{-}$	−0.0009	0.0077	−0.0068	−0.0095	0.0014
${\tilde{y}}_{t - 1}^{+}$	0.0295	0.0155	0.0269	0.0355	−0.0064
${\tilde{y}}_{t - 1}^{-}$	0.0029	0.0253	−0.0384**	0.0194	0.0991***

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