International Scholarly Research Notices / 2014 / Article / Tab 2 / Research Article
Exchange Rate Volatility and Aggregate Exports: Evidence from Two Small Countries Table 2 ARDL results for the effects of ER volatility (measures 1 and 2) on exports of Croatia and Cyprus.
Country, Sector ARDL order Regressor, coefficient
-statistic, Wald bound test
-statistic LM test
Confidence intervals for
Dynamic stability Croatia—ER volatility measure 1 (7, 4, 6, 6)
:
: −10.65773*
: −3.47714
: −466.39183*
5.5103*
0.66372
−0.2343*
Yes
:
:
:
: −0.725*
:
:
:
:
:
:
:
:
:
:
:
:
: 1.260
:
:
: 1.222
:
:
:
:
:
:
:
:
:
Cyprus—ER volatility measure 1 (1, 4, 6, 0)
:
: −0.402260*
: 0.470177
: 15.272268*
9.4420*
1.4896
−0.433*
[1.7265, 28.818]
Yes
:
:
:
:
:
:
:
:
:
:
:
:
:
:
:
:
:
Croatia—ER volatility measure 2 (1, 2, 4, 0)
:
: 64.83765*
: 2.93799*
: 0.80778*
168.678*
2.1006
−1.1017 [35.2047, 94.4705] [2.6029, 3.2731] [0.2792, 1.3365]
Yes
:
:
: −1.468365*
:
:
:
:
:
: −4.255792*
: 1.802907+
: 0.801685
: −0.283179
: −0.451535 Cyprus—ER volatility measure 2 (1, 4, 2, 0)
: −1.131485*
: −0.517631*
: 2.01069*
: 0.341775
8.6375*
0.7455
−0.6401*
[1.1367, 2.8847]
Yes
: −0.585692*
: 2.275066*
: 0.386714
: 0.150424
: 0.838574+
: 0.731348+
: 0.391101
: 0.524350
: 0.889837+
: −2.046932
: 1.149470
: 2.460438
: 0.352926
Notes: the asterisk and the cross denote at least 5% level of statistical significance and 10% level of statistical significance, respectively. Confidence intervals indicating statistically significant long-run coefficients
are presented in bold. The plot of the inverse roots of the AR polynomials for examining the dynamic stability of the model is presented in the Appendix.