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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