Exchange Rate Uncertainty and Trade Growth - A Comparison of Linear and Nonlinear (Forecasting) Models



Table V: Henrikkson-Merton tests

Exports

Imports

Sec

AT

BE

CA

FI

FR

GE

GC

IR

IT

JP

NL

NO

SW

UK

US

agg

agg*

agg

agg*

0

LIN

1.08

0.91

1.17

1.08

1.03

1.08

0.93

^∏5^

0.93

1.08

0.94

0.99

0.98

1.12

0.96

1.04

1.01

1.00

1.01

THM

1.14

1.22

1.20

1.00

0.89

1.12

0.89

1.18

1.01

1.13

0.89

0.99

0.94

1.03

0.86

1.04

1.00

0.97

1.00

SPA

0.94

1.29

1.16

1.04

0.91

1.05

0.93

1.13

1.04

1.14

1.02

0.94

1.02

1.06

0.97

1.05

1.02

0.97

0.99

I

LIN

1.10

0.83

1.06

0.94

0.93

1.00

1.03

^Γ09^

0.93

1.12

1.01

1.08

1.34

0.94

1.09

1.04

1.07

1.02

"lɪ

THM

1.06

0.89

1.07

0.97

0.95

1.04

1.09

1.04

0.90

1.10

0.88

1.09

1.29

1.06

0.98

1.03

1.08

1.00

1.04

SPA

0.98

1.01

0.98

0.97

0.97

1.03

1.05

1.02

0.91

1.14

0.93

0.96

1.31

1.10

1.06

1.03

1.06

1.03

1.02

2

LIN

0.98

0.87

0.96

0.98

0.95

0.86

1.09

^Γ03^

0.88

0.91

1.02

0.98

1.00

1.03

0.93

0.96

0.97

1.02

"lɪ

THM

1.12

1.21

0.97

1.03

0.85

0.95

1.05

0.98

0.84

0.86

1.02

0.95

1.10

1.12

0.96

1.00

1.00

0.98

1.00

SPA

1.13

1.02

1.03

1.05

1.05

0.94

1.07

0.83

0.78

0.93

1.03

1.00

0.98

0.95

0.97

0.98

0.98

0.98

0.99

3

LIN

0.88

1.00

0.89

0.93

1.08

0.84

0.90

^Γ06^

1.05

1.08

1.07

1.10

1.10

1.06

1.01

1.00

0.99

1.03

"lɪ

THM

0.87

1.03

1.08

0.94

1.03

1.02

0.94

0.95

0.89

0.92

0.83

1.15

1.12

0.95

1.08

0.99

0.99

1.02

1.01

SPA

0.88

1.00

1.00

1.04

1.11

0.93

0.93

0.96

0.86

0.83

0.90

1.17

1.05

0.98

1.00

0.98

0.99

1.05

1.06

4

LIN

1.08

1.04

1.10

0.94

0.94

1.23

0.79

^^097^

1.04

1.00

0.99

0.87

1.06

0.92

1.02

0.99

1.01

1.00

^^O8^

THM

1.02

1.02

0.92

0.96

1.12

1.24

1.08

0.94

1.05

0.95

1.01

0.99

1.09

1.22

1.03

1.03

1.07

1.03

1.02

SPA

1.03

1.02

1.00

1.00

1.10

1.28

1.08

0.83

1.01

0.95

0.94

1.05

1.05

1.07

0.97

1.02

1.01

0.99

0.99

5

LIN

0.97

0.91

0.92

1.13

0.98

1.09

0.92

^^O9^

1.02

1.13

0.75

1.15

1.11

0.95

1.12

1.01

0.98

1.02

"lɪ

THM

0.85

0.99

0.95

1.04

0.99

1.04

0.86

1.01

1.05

0.93

0.91

1.15

1.07

1.12

0.97

1.00

1.00

1.03

1.02

SPA

0.93

1.04

1.00

1.06

1.00

0.95

0.91

0.94

0.99

0.97

0.91

1.12

1.03

1.13

0.97

1.00

0.98

1.01

1.00

6

LIN

1.05

1.04

0.88

1.09

0.94

0.96

0.92

1.05

0.95

1.13

1.08

1.09

1.00

0.91

1.03

1.02

1.01

1.04

1.02

THM

1.15

1.12

0.89

1.02

1.04

0.80

1.00

1.00

0.96

1.00

1.12

1.11

1.04

1.11

0.87

1.02

1.00

1.06

1.07

SPA

1.12

1.05

0.95

1.07

1.04

0.92

1.01

0.99

1.07

0.95

1.18

1.09

1.01

1.08

0.91

1.03

1.02

1.03

1.04



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