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The Official Journal of the Pan-Pacific Association of Input-Output Studies (PAPAIOS)

Table 2 Short-run NARDL estimates

From: Non-linear impact of exchange rate changes on U.S. industrial production

IPIs for sectors

Independent Variables

Lag 0

Lag 1

Lag 2

Lag 3

Lag 4

Lag 5

Non-energy

NEG

0.02** (0.14)

     

Materials

POS

0.17*** (0.05)

− 0.11 (0.10)

0.04 (0.10)

− 0.14** (0.06)

  

(5, 0, 4, 6, 1, 1, 0)

Ln (CPI)

− 0.01 (0.15)

0.61** (0.27)

− 0.44 (0.28)

− 0.06 (0.28)

0.38 (0.25)

− 0.34** (0.14)

Ln (GFCF)

0.75*** (0.11)

     

Ln (M2)

− 0.35*** (0.13)

     

Ln (L)

0.03 (0.06)

     

Non-durable

NEG

− 0.00 (0.01)

     

Manufacturing

POS

0.11** (0.05)

− 0.06 (0.50)

0.08 (0.08)

− 0.12*** (0.01)

  

(4, 0, 4, 6, 1, 0, 0)

Ln (CPI)

− 0.34** (0.13)

0.41* (0.24)

0.01 (0.24)

− 0.51** (0.24)

0.62***(0.22)

− 0.30** (0.01)

Ln (GFCF)

0.42*** (0.09)

     

Ln (M2)

− 0.02 (0.01)

     

Ln (L)

0.10 (0.06)

     

Mining

NEG

0.01 (0.02)

     

(3, 0, 0, 3, 4, 0, 0)

POS

− 0.00 (0.02)

     

Ln (CPI)

−0.81** (0.31)

1.36** (0.54)

− 0.74** (0.30)

0.74** (0.30)

  

Ln (GFCF)

0.15 (0.36)

3.00*** (0.84)

− 2.09*** (0.79)

0.59 (0.37)

  

Ln (M2)

− 0.01 (0.30)

     

Ln (L)

− 0.45* (0.24)

     

Energy materials

NEG

− 0.002 (0.02)

     

(3, 0, 0, 1, 4, 0, 0)

POS

− 0.00 (0.01)

     

Ln (CPI)

− 0.64*** (0.21)

     

Ln (GFCF)

− 0.20 (0.29)

2.32*** (0.68)

− 1.68*** (0.64)

0.55* (0.30)

  

Ln (M2)

0.03 (0.03)

     

Ln (L)

− 0.36* (0.19)

     

Electricity

NEG

0.15 (0.17)

0.36** (0.17)

    

(4, 2, 3, 0, 4, 1, 6)

POS

− 0.15 (0.15)

0.52(0.24)

− 0.33** (0.14)

   

Ln (CPI)

− 0.26* (0.13)

     

Ln (GFCF)

− 0.40 (0.44)

− 0.24 (0.98)

− 1.08 (0.91)

1.18*** (0.43)

  

Ln (M2)

0.67** (0.30)

     

Ln (L)

− 1.20** (0.49)

1.61** (0.62)

− 1.31** (0.63)

− 0.97(0.63)

1.04* (0.62)

− 1.11** (0.49)

Durable

NEG

0.00 (0.01)

     

Manufacturing

POS

0.06 (0.06)

− 0.08 (0.12)

0.12 (0.11)

− 0.16** (0.06)

  

(4, 0, 4, 0, 2, 2, 0)

Ln (CPI)

0.08 (0.06)

     

Ln (GFCF)

0.54** (0.21)

0.37* (0.22)

    

Ln (M2)

− 0.21 (0.15)

− 0.24 (0.15)

    

Ln (L)

0.08 (0.07)

     

Consumer goods

NEG

− 0.00 (0.06)

0.19*** (0.09)

− 0.01 (0.09)

0.04 (0.09)

− 0.20*** (0.06)

 

(2, 5, 1, 0, 5, 0, 1)

POS

0.08 (0.05)

     

Ln (CPI)

− 0.00 (0.05)

     

Ln (GFCF)

0.27 (0.17)

0.30 (0.37)

− 0.20 (0.37)

− 0.16 (0.35)

0.26 (0.17)

 

Ln (M2)

− 0.00 (0.07)

     

Ln (L)

− 0.35* (0.18)

     

Business

NEG

− 0.00 (0.10)

0.41*** (0.15)

− 0.18* (0.10)

   

Equipments

POS

0.02 (0.01)

     

(1, 3, 0, 0, 5, 0, 0)

Ln (CPI)

− 0.09 (0.09)

     

Ln (GFCF)

0.25 (0.27)

1.34** (0.62)

− 0.70 (0.62)

− 0.44 (0.58)

0.58** (0.27)

 

Ln (M2)

− 0.09 (0.03)***

     

Ln (L)

0.29 (0.12)**

     
  1. Significant estimates at the 10%, 5% and 1% level are represented by *,**,*** respectively. The selected NARDL model based on automatic lag selection is written after each respective sector