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Financial Innovation

Table 6 NARDL long- and short-run coefficients

From: Is pass-through of the exchange rate to restaurant and hotel prices asymmetric in the US? Role of monetary policy uncertainty

Variable

Long-run coefficients

Short-run coefficients

Coefficient

SE

Coefficient

SE

Model Selection: (2, 3, 3, 0, 1, 0, 2)

lnRHPt−1

  

1.2851***

0.0638

lnRHPt−2

  

− 0.4813***

0.0659

lnNEERt+

− 0.0868***

0.0231

− 0.0913**

0.0401

lnNEERt−1+

  

− 0.1335**

0.0505

lnNEERt−2+

  

0.0697**

0.0321

lnNEERt−3+

  

− 0.0446

0.0345

lnNEERt−

0.1697***

0.0307

0.1334**

0.0513

lnNEERt−1−

  

0.0693

0.0494

lnNEERt−2−

  

− 0.1175**

0.0491

lnNEERt−3−

  

0.0807**

0.0337

lnMPt+

− 0.0729**

0.0284

− 0.0358***

0.0052

lnMPt−

0.0807**

0.0314

0.0392***

0.0086

lnMPt−1+

  

0.00176*

0.00089

lnEPRt+

0.0127**

0.0058

0.0197***

0.0024

lnEPRt−

− 0.0090

0.0057

− 0.0007

0.0012

lnEPRt−1−

  

− 0.0039

0.0094

lnEPRt−2−

  

0.0027

0.0062

ECMt−1

  

− 0.1962***

0.0304

Constant

  

0.8274***

0.1405

FPSS

6.4528***

   

tBDM

− 5.7596***

   
  1. Superscripts *, **, and *** represent level of significance at 1%, 5%, and 10%. FPSS uses F-statistic and tBDM uses a t-statistic
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