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

Table V: Henrikkson-Merton tests (cont)

Exports Imports

Sec		AT	BE	CA	FI	FR	GE	GC	IR	IT	JP	NL	NO	SW	UK	US	agg	agg*	agg	agg*
7	LIN	1.03	1.03	1.03	0.97	0.94	0.93	1.08	1.02	0.94	1.13	0.97	1.03	1.29	0.94	0.97	1.03	1.04	1.01	1.03
	THM	1.13	1.02	1.08	0.93	0.82	0.98	1.03	0.95	1.09	0.98	0.95	0.98	1.26	0.97	1.01	1.02	1.06	1.02	1.01
	SPA	1.10	1.04	0.96	0.90	1.04	0.96	0.98	0.88	1.01	0.96	1.14	1.06	1.15	1.04	1.00	1.02	1.06	1.05	1.03
8	TÎN	0.96	1.08	1.02	1.02	0.93	1.03	0.97	1.19	0.98	1.13	1.08	1.05	0.85	0.91	1.05	1.02	1.07	0.99	TT
	THM	0.95	0.98	1.03	0.98	0.99	1.07	1.03	1.18	0.89	1.06	1.12	1.12	1.07	0.96	1.03	1.03	1.10	0.99	1.00
	SPA	0.94	0.95	1.02	1.04	1.11	0.96	0.97	1.02	1.06	1.12	1.08	1.06	1.08	0.95	1.05	1.03	1.05	1.00	1.01
9	Tin	0.98	1.03	1.14	1.00	0.97	0.97	1.02	0.88	0.87	0.76	1.08	0.99	0.97	0.93	1.00	0.99	0.99	0.99	TT
	THM	0.90	1.10	0.84	0.96	1.20	0.82	1.03	1.11	0.97	0.93	0.97	0.93	1.01	1.03	1.00	1.01	1.00	0.98	0.96
	spa	0.88	0.99	0.88	1.03	1.15	0.86	1.03	0.97	0.96	0.77	0.99	0.90	0.94	1.04	0.87	0.97	0.95	0.96	0.91
agg	Tin	1.02	0.97	1.02	1.01	0.97	1.00	0.99	1.03	0.96	1.04	1.00	1.04	1.08	0.97	1.02	1.01	_	_	_
	THM	1.03	1.06	1.00	0.99	0.98	1.01	1.02	1.03	0.97	0.99	0.97	1.05	1.11	1.05	0.99	1.02	_	_	_
	spa	1.00	1.04	1.00	1.02	1.04	0.99	1.01	0.95	0.97	0.98	1.01	1.05	1.07	1.04	0.99	1.01	_	_	_
agg*	Tin	1.01	0.99	1.03	1.01	0.94	1.02	0.97	1.01	0.93	1.13	1.03	1.04	1.13	0.93	1.04	_	1.01	_	_
	THM	1.02	1.06	1.01	1.02	0.98	1.02	1.00	1.08	0.96	1.06	0.98	1.08	1.15	1.04	0.98	_	1.03	_	_
	SPA	0.93	1.04	1.01	1.02	1.04	1.00	1.03	0.96	0.94	1.00	1.01	1.08	1.10	1.03	1.01	_	1.01	_	_
Imports
agg	LIN	0.99	_	1.02	1.01	1.00	1.02	1.01	1.01	0.99	0.99	0.98	1.01	1.06	1.04	0.98	_	_	1.01	_
	THM	1.00	_	1.01	0.96	1.02	1.03	0.99	1.01	1.00	1.03	1.01	0.99	1.02	0.98	1.00	_	_	1.01	_
	SPA	1.00	_	1.02	1.01	1.04	0.99	0.99	1.04	1.02	1.03	0.97	1.00	1.00	0.98	0.95	_	_	1.01	_
_ * agg^*	Tin	0.96	_	1.03	0.99	1.01	1.01	1.02	1.01	1.02	1.02	0.97	1.00	1.07	1.01	0.93	_	_	_	TT
	THM	1.00	_	1.07	0.94	1.03	1.03	1.00	1.02	1.02	1.03	1.02	0.98	1.01	0.98	1.01	_	_	_	1.01
	spa	1.03	_	1.05	1.01	1.02	1.00	1.00	1.02	1.07	1.03	0.96	1.01	0.99	0.96	0.91	_	_	_	1.01

Notes: Country and sector specific hm-statistics indicating the accuracy of three competing forecasting schemes (LIN, THM, SPA) to
predict conditionally the correct sign of export growth. agg and agg* denote unconditional aggregates and aggregates obtained over
states of unusually low and high FX uncertainty, respectively. Results for imports are given on aggregate levels only. Bold entries
indicate hm-statistics significantly exceeding unity. Critical values are estimated by means of own simulations.

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