Table 6 Nonlinear autoregressive... | Emerald Publishing

Table 6

Nonlinear autoregressive distributed lag model results with survey expectations

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0506***	−0.0013	0.0232*	0.0270**	0.0448**
$e c m_{t - 1}$	−0.0569***	−0.0684***	−0.0642***	−0.0743***	−0.0812***
$Δ q_{t - 1}$	0.1016*	0.1600***	0.1450**	0.0582	0.2128***
$Δ {\tilde{m}}_{t - 1}^{+}$	−0.3580**	−0.0017	−0.1666	−0.3763*	0.1158
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.7340**	−1.3426*	−0.8949*	−0.2473	−1.1064
$Δ {\tilde{x}}_{t - 1}^{+}$	0.0045	0.0032	0.0007	0.0014	0.0235***
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0007	0.0022	0.0014	0.0005	−0.0027
${\tilde{Δ i}}_{t - 1}^{+}$	0.0271	−0.0211	0.0126	−0.0123*	0.0169
$Δ {\tilde{i}}_{t - 1}^{-}$	0.0098	0.0857**	0.0421*	0.0685***	0.0151
$Δ {\tilde{y}}_{t - 1}^{+}$	0.0021	−0.0144	−0.0183	0.0172	−0.0119
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0038	0.0282	0.0212	0.0088	−0.0528*
${\tilde{m}}_{t - 1}^{+}$	−0.0716***	0.0497**	−0.0605**	−0.0797	−0.0810**
${\tilde{m}}_{t - 1}^{-}$	0.2415***	0.3199	0.1381	0.0348	0.2629
${\tilde{x}}_{t - 1}^{+}$	−0.0041**	−0.0087*	0.0034*	−0.0019	−0.0005
${\tilde{x}}_{t - 1}^{-}$	−0.0034*	−0.0141**	−0.0048	−0.0015	0.0125
${\tilde{i}}_{t - 1}^{+}$	−0.0009	0.0175**	−0.0056	0.0032	0.0041
${\tilde{i}}_{t - 1}^{-}$	0.0011	0.0120**	0.0059	0.0091	0.0097**
${\tilde{y}}_{t - 1}^{+}$	−0.0176	−0.0233	0.0041**	−0.0151	−0.0119
${\tilde{y}}_{t - 1}^{-}$	0.1005*	0.0311	0.0021*	0.0663	0.0571

	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$α$	0.0506***	−0.0013	0.0232*	0.0270**	0.0448**
$e c m_{t - 1}$	−0.0569***	−0.0684***	−0.0642***	−0.0743***	−0.0812***
$Δ q_{t - 1}$	0.1016*	0.1600***	0.1450**	0.0582	0.2128***
$Δ {\tilde{m}}_{t - 1}^{+}$	−0.3580**	−0.0017	−0.1666	−0.3763*	0.1158
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.7340**	−1.3426*	−0.8949*	−0.2473	−1.1064
$Δ {\tilde{x}}_{t - 1}^{+}$	0.0045	0.0032	0.0007	0.0014	0.0235***
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0007	0.0022	0.0014	0.0005	−0.0027
${\tilde{Δ i}}_{t - 1}^{+}$	0.0271	−0.0211	0.0126	−0.0123*	0.0169
$Δ {\tilde{i}}_{t - 1}^{-}$	0.0098	0.0857**	0.0421*	0.0685***	0.0151
$Δ {\tilde{y}}_{t - 1}^{+}$	0.0021	−0.0144	−0.0183	0.0172	−0.0119
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0038	0.0282	0.0212	0.0088	−0.0528*
${\tilde{m}}_{t - 1}^{+}$	−0.0716***	0.0497**	−0.0605**	−0.0797	−0.0810**
${\tilde{m}}_{t - 1}^{-}$	0.2415***	0.3199	0.1381	0.0348	0.2629
${\tilde{x}}_{t - 1}^{+}$	−0.0041**	−0.0087*	0.0034*	−0.0019	−0.0005
${\tilde{x}}_{t - 1}^{-}$	−0.0034*	−0.0141**	−0.0048	−0.0015	0.0125
${\tilde{i}}_{t - 1}^{+}$	−0.0009	0.0175**	−0.0056	0.0032	0.0041
${\tilde{i}}_{t - 1}^{-}$	0.0011	0.0120**	0.0059	0.0091	0.0097**
${\tilde{y}}_{t - 1}^{+}$	−0.0176	−0.0233	0.0041**	−0.0151	−0.0119
${\tilde{y}}_{t - 1}^{-}$	0.1005*	0.0311	0.0021*	0.0663	0.0571

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0054	−0.0111**	0.0251**	−0.0254***	−0.0225***
$e c m_{t - 1}$	−0.0276**	−0.0312**	−0.1362***	−0.0801***	−0.1300***
$Δ q_{t - 1}$	0.1898***	0.1740***	0.2859***	0.2213***	0.2256***
$Δ {\tilde{m}}_{t - 1}^{+}$	0.1353	−0.8615**	−0.1658	−0.0040	−0.2111
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.8081	−0.1420*	0.2398	0.0002	0.1811
$Δ {\tilde{x}}_{t - 1}^{+}$	0.0010	0.0012	0.0095**	0.0013	0.0004
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0031	0.0052**	−0.0038	−0.0015	0.0116*
${\tilde{Δ i}}_{t - 1}^{+}$	−0.0589	−0.0097*	−0.1012**	−0.0042	−0.0076
$Δ {\tilde{i}}_{t - 1}^{-}$	0.0064	0.0087	−0.0081	0.1337***	−0.0050
$Δ {\tilde{y}}_{t - 1}^{+}$	−0.0154	0.0007	−0.0159	−0.0376	−0.0303
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0254	0.0075	0.0248*	0.00709	−0.0010
${\tilde{m}}_{t - 1}^{+}$	−0.0006	1.2173***	0.1048	0.0000	0.1102***
${\tilde{m}}_{t - 1}^{-}$	0.1446	−0.0203	0.0885***	−0.0003	−0.0119
${\tilde{x}}_{t - 1}^{+}$	−0.0018	−0.0023	−0.0086**	−0.0036	−0.0010
${\tilde{x}}_{t - 1}^{-}$	−0.0018	−0.0024	−0.0078**	−0.0012	−0.0016
${\tilde{i}}_{t - 1}^{+}$	0.0287	−0.0008	0.0241*	0.0041*	0.0069**
${\tilde{i}}_{t - 1}^{-}$	0.0016	0.0092	0.0109	−0.0109	0.0039
${\tilde{y}}_{t - 1}^{+}$	0.0382	0.0219	0.0469	−0.0337	0.0591
${\tilde{y}}_{t - 1}^{-}$	0.0108	0.0224	−0.0489**	−0.0140	0.0511

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$α$	−0.0054	−0.0111**	0.0251**	−0.0254***	−0.0225***
$e c m_{t - 1}$	−0.0276**	−0.0312**	−0.1362***	−0.0801***	−0.1300***
$Δ q_{t - 1}$	0.1898***	0.1740***	0.2859***	0.2213***	0.2256***
$Δ {\tilde{m}}_{t - 1}^{+}$	0.1353	−0.8615**	−0.1658	−0.0040	−0.2111
$Δ {\tilde{m}}_{t - 1}^{-}$	−0.8081	−0.1420*	0.2398	0.0002	0.1811
$Δ {\tilde{x}}_{t - 1}^{+}$	0.0010	0.0012	0.0095**	0.0013	0.0004
$Δ {\tilde{x}}_{t - 1}^{-}$	0.0031	0.0052**	−0.0038	−0.0015	0.0116*
${\tilde{Δ i}}_{t - 1}^{+}$	−0.0589	−0.0097*	−0.1012**	−0.0042	−0.0076
$Δ {\tilde{i}}_{t - 1}^{-}$	0.0064	0.0087	−0.0081	0.1337***	−0.0050
$Δ {\tilde{y}}_{t - 1}^{+}$	−0.0154	0.0007	−0.0159	−0.0376	−0.0303
$Δ {\tilde{y}}_{t - 1}^{-}$	−0.0254	0.0075	0.0248*	0.00709	−0.0010
${\tilde{m}}_{t - 1}^{+}$	−0.0006	1.2173***	0.1048	0.0000	0.1102***
${\tilde{m}}_{t - 1}^{-}$	0.1446	−0.0203	0.0885***	−0.0003	−0.0119
${\tilde{x}}_{t - 1}^{+}$	−0.0018	−0.0023	−0.0086**	−0.0036	−0.0010
${\tilde{x}}_{t - 1}^{-}$	−0.0018	−0.0024	−0.0078**	−0.0012	−0.0016
${\tilde{i}}_{t - 1}^{+}$	0.0287	−0.0008	0.0241*	0.0041*	0.0069**
${\tilde{i}}_{t - 1}^{-}$	0.0016	0.0092	0.0109	−0.0109	0.0039
${\tilde{y}}_{t - 1}^{+}$	0.0382	0.0219	0.0469	−0.0337	0.0591
${\tilde{y}}_{t - 1}^{-}$	0.0108	0.0224	−0.0489**	−0.0140	0.0511

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