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Financial Innovation

Table 9 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, 2, 0, 0, 3, 0, 3)

lnRHPt−1

  

1.1971***

0.0668

lnRHPt−2

  

− 0.4428***

0.0664

lnNEERt+

− 0.2732***

0.0581

− 0.0108***

0.0031

lnNEERt−1+

  

− 0.0627*

0.0322

lnNEERt−2+

  

− 0.0692

0.0551

lnNEERt−

0.4899***

0.0615

0.0347**

0.0141

lnMPt+

− 0.0262***

0.0089

− 0.0210***

0.0053

lnMPt−

0.1592***

0.0499

− 0.0455***

0.0082

lnMPt−1−

  

0.0018*

0.0010

lnMPt−2−

  

− 0.0017*

0.0009

lnMPt−3−

  

0.0015

0.0095

lnEPRt+

0.4813***

0.0627

0.0232**

0.0096

lnEPRt−

− 0.1281

0.0809

− 0.0154

0.0565

lnEPRt−1−

  

− 0.1098

0.0853

lnEPRt−2−

  

0.1647*

0.0866

lnEPRt−3−

  

− 0.1654

0.1066

D_2004:09

  

− 0.00398

0.0033

D_2008:08

  

− 0.00597

0.0043

D_2011:09

  

0.00011

0.0032

D_2014:03

  

0.00443

0.0031

ECMt−1

  

− 0.2878***

0.0391

Constant

  

1.0378***

0.1528

FPSS

6.5388***

   

tBDM

− 4.7352***

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