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 |
_ | |
|
_ * |
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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