Table 7 Long-run asymmetries Market...

Table 7

Long-run asymmetries

Market expectations
	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$L {\tilde{m}}^{+}$	−1.5509***	−0.9359***	−1.2431**	−0.9409***	−0.9980***
$L {\tilde{m}}^{-}$	4.6012***	34.0792***	1.1780**	0.7026***	3.2375***
$L {\tilde{i}}^{+}$	−0.0410***	0.2606***	−0.4094**	0.0407***	0.0504***
$L {\tilde{i}}^{-}$	−0.0053***	0.1116***	0.1840**	0.1606***	0.1201***
$L {\tilde{x}}^{+}$	−0.0405***	−0.1890***	−0.0130**	0.0019***	−0.0057***
$L {\tilde{x}}^{-}$	0.0042***	−0.1198***	−0.0024**	0.0175***	0.1536***
$L {\tilde{y}}^{+}$	−0.2412***	−0.6591***	1.1541**	−0.1515***	−0.1465***
$L {\tilde{y}}^{-}$	1.9712***	0.9730***	0.0860**	0.7143***	0.7028***

Market expectations
	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$L {\tilde{m}}^{+}$	−1.5509***	−0.9359***	−1.2431**	−0.9409***	−0.9980***
$L {\tilde{m}}^{-}$	4.6012***	34.0792***	1.1780**	0.7026***	3.2375***
$L {\tilde{i}}^{+}$	−0.0410***	0.2606***	−0.4094**	0.0407***	0.0504***
$L {\tilde{i}}^{-}$	−0.0053***	0.1116***	0.1840**	0.1606***	0.1201***
$L {\tilde{x}}^{+}$	−0.0405***	−0.1890***	−0.0130**	0.0019***	−0.0057***
$L {\tilde{x}}^{-}$	0.0042***	−0.1198***	−0.0024**	0.0175***	0.1536***
$L {\tilde{y}}^{+}$	−0.2412***	−0.6591***	1.1541**	−0.1515***	−0.1465***
$L {\tilde{y}}^{-}$	1.9712***	0.9730***	0.0860**	0.7143***	0.7028***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$L {\tilde{m}}^{+}$	−0.2172*	63.9348**	0.7820***	−0.0001**	−1.6019***
$L {\tilde{m}}^{-}$	4.1573*	−1.0472**	0.4933***	−0.0047***	0.4210***
$L {\tilde{i}}^{+}$	1.2105*	−0.0721 **	0.0687***	0.0348***	0.0094***
$L {\tilde{i}}^{-}$	−0.0424*	0.3497**	−0.0487***	−0.1267***	0.0186***
$L {\tilde{x}}^{+}$	−0.0215*	−0.2949**	−0.1991***	0.0323***	−0.0035***
$L {\tilde{x}}^{-}$	−0.0182*	−0.3545**	−0.1373***	−0.0140***	−0.0098***
$L {\tilde{y}}^{+}$	1.3395*	0.7086**	0.1915***	0.4726***	−0.0830***
$L {\tilde{y}}^{-}$	0.1305*	1.1570**	−0.2732***	−0.2587***	1.2847***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$L {\tilde{m}}^{+}$	−0.2172*	63.9348**	0.7820***	−0.0001**	−1.6019***
$L {\tilde{m}}^{-}$	4.1573*	−1.0472**	0.4933***	−0.0047***	0.4210***
$L {\tilde{i}}^{+}$	1.2105*	−0.0721 **	0.0687***	0.0348***	0.0094***
$L {\tilde{i}}^{-}$	−0.0424*	0.3497**	−0.0487***	−0.1267***	0.0186***
$L {\tilde{x}}^{+}$	−0.0215*	−0.2949**	−0.1991***	0.0323***	−0.0035***
$L {\tilde{x}}^{-}$	−0.0182*	−0.3545**	−0.1373***	−0.0140***	−0.0098***
$L {\tilde{y}}^{+}$	1.3395*	0.7086**	0.1915***	0.4726***	−0.0830***
$L {\tilde{y}}^{-}$	0.1305*	1.1570**	−0.2732***	−0.2587***	1.2847***

Survey expectations
	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$L {\tilde{m}}^{+}$	−1.2573***	0.7271***	−0.9426***	−1.0727***	−0.9980***
$L {\tilde{m}}^{-}$	4.2404***	4.6771***	2.1513***	0.4684***	3.2375***
$L {\tilde{i}}^{+}$	−0.0161***	0.2564***	−0.0874***	0.0430***	0.0504***
$L {\tilde{i}}^{-}$	0.0198***	0.1747***	0.0917***	0.1223***	0.1201***
$L {\tilde{x}}^{+}$	−0.0711***	−0.1274***	0.0534***	−0.0261***	−0.0057***
$L {\tilde{x}}^{-}$	−0.0594***	−0.2061***	−0.0751***	−0.0203***	0.1536***
$L {\tilde{y}}^{+}$	−0.3098***	−0.3400***	0.0641***	−0.2033***	−0.1465***
$L {\tilde{y}}^{-}$	1.7651***	0.3242***	0.0324***	0.8929***	0.7028***

Survey expectations
	GBPCAD	GBPAUD	GBPNZD	GBPSEK	CADAUD
$L {\tilde{m}}^{+}$	−1.2573***	0.7271***	−0.9426***	−1.0727***	−0.9980***
$L {\tilde{m}}^{-}$	4.2404***	4.6771***	2.1513***	0.4684***	3.2375***
$L {\tilde{i}}^{+}$	−0.0161***	0.2564***	−0.0874***	0.0430***	0.0504***
$L {\tilde{i}}^{-}$	0.0198***	0.1747***	0.0917***	0.1223***	0.1201***
$L {\tilde{x}}^{+}$	−0.0711***	−0.1274***	0.0534***	−0.0261***	−0.0057***
$L {\tilde{x}}^{-}$	−0.0594***	−0.2061***	−0.0751***	−0.0203***	0.1536***
$L {\tilde{y}}^{+}$	−0.3098***	−0.3400***	0.0641***	−0.2033***	−0.1465***
$L {\tilde{y}}^{-}$	1.7651***	0.3242***	0.0324***	0.8929***	0.7028***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$L {\tilde{m}}^{+}$	−0.0225**	38.9586***	0.7693***	−0.0001***	0.8473***
$L {\tilde{m}}^{-}$	5.2368**	−0.6481***	0.6501***	−0.0041***	−0.0917***
$L {\tilde{i}}^{+}$	1.0408**	−0.0240***	0.1773***	0.0507***	0.05271***
$L {\tilde{i}}^{-}$	0.0584**	0.2948***	0.0803***	−0.1358***	0.0297***
$L {\tilde{x}}^{+}$	−0.0642**	−0.0741***	−0.0633***	−0.0445***	−0.0076***
$L {\tilde{x}}^{-}$	−0.0657**	−0.0783***	−0.0574***	0.0154***	−0.0121***
$L {\tilde{y}}^{+}$	1.3815**	0.7014***	0.3448***	0.4206***	0.4548***
$L {\tilde{y}}^{-}$	0.3920**	0.7155***	−0.3593***	−0.1750***	0.3929***

	CADNZD	CADSEK	AUDNZD	AUDSEK	NZDSEK
$L {\tilde{m}}^{+}$	−0.0225**	38.9586***	0.7693***	−0.0001***	0.8473***
$L {\tilde{m}}^{-}$	5.2368**	−0.6481***	0.6501***	−0.0041***	−0.0917***
$L {\tilde{i}}^{+}$	1.0408**	−0.0240***	0.1773***	0.0507***	0.05271***
$L {\tilde{i}}^{-}$	0.0584**	0.2948***	0.0803***	−0.1358***	0.0297***
$L {\tilde{x}}^{+}$	−0.0642**	−0.0741***	−0.0633***	−0.0445***	−0.0076***
$L {\tilde{x}}^{-}$	−0.0657**	−0.0783***	−0.0574***	0.0154***	−0.0121***
$L {\tilde{y}}^{+}$	1.3815**	0.7014***	0.3448***	0.4206***	0.4548***
$L {\tilde{y}}^{-}$	0.3920**	0.7155***	−0.3593***	−0.1750***	0.3929***

Note(s): *significant at 10% level, **significant at 5% level, ***significant at 1% level. Standard errors in parentheses $L^{+}$ and $L^{+}$ denote the positive and negative long-run coefficients, which are defined by $β^{+} = - \frac{θ^{+}}{ρ}$ and $β^{-} = - \frac{θ^{-}}{ρ}$

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