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