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Table 4 Investment equations, II.

From: Asymmetric real-exchange-rate effects on capital accumulation: evidence from non-linear ARDL models for Mexico

  (4.1) (4.2) (4.3) (4.4)
Estimated coefficients
Depreciation component, RERD 0.304 (0.00) 0.308 (0.00) 0.287 (0.06) 0.336 (0.05)
Appreciation component, RERA 0.311 (0.00) 0.506 (0.00) 0.666 (0.00) 0.564 (0.02)
Industrial production index 2.904 (0.00) 1.773 (0.00)   
Government investment − 0.417 (0.00) − 0.357 (0.00) − 0.329 (0.00) − 0.317 (0.00)
Nominal interest rate, NIR − 0.464 (0.00) − 0.566 (0.00) − 0.593 (0.02) − 0.596 (0.02)
Annual inflation rate, INF 0.298 (0.00) 0.370 (0.00) 0.332 (0.02) 0.343 (0.01)
Monetary aggregate M3     − 0.469 (0.37)
Manufacturing exports   0.629 (0.00) 1.062 (0.00) 1.041 (0.00)
Gross domestic product    0.752 (0.00) 0.744 (0.00)
Error-correction coefficient, ρ − 0.801 (0.00) − 0.675 (0.00) − 0.421 (0.00) − 0.439 (0.00)
Intercept shifts
1995–2016, post-tequila crisis − 4.04 (0.00) − 6.85 (0.00) − 6.90 (0.00) − 7.79 (0.00)
2013–2016, global slowdown − 1.83 (0.00) − 1.99 (0.00) − 2.48 (0.00) − 1.70 (0.02)
Diagnostics
Jarque–Bera 0.413 0.502 0.788 0.989
Breusch‒Godfrey, n = 4 0.364 0.620 0.187 0.168
ARCH 0.523 0.448 0.854 0.752
Ramsey’s RESET 0.859 0.928 0.256 0.195
Adjusted R-squared 0.850 0.871 0.903 0.906
Wald and bounds tests
Wald RERD = RERA 0.933 0.071 0.011 0.298
Wald NIR = − INF 0.070 0.053 0.071 0.072
Bounds t statistic − 8.40*** − 7.30*** − 5.53*** − 5.16**
Bounds F statistic 16.44*** 13.65*** 10.69*** 9.40***
  1. Dependent variable: private fixed investment
  2. Long-run coefficients from non-linear EC ARDL models, 1988Q1‒2016Q3, 115 quarterly observations
  3. For illustrative purposes, the p values for the di coefficients from Eq. (3a) in the text are shown in parenthesis, next to the estimated coefficients
  4. For an explanation of the diagnostic, Wald, and bounds tests, see Tables 1 and 2
  5. The intercept was omitted from columns (4.3) and (4.4) due to lack of significance. Column (4.1) includes a quarterly outlier dummy for 2009Q3, while columns (4.3) and (4.4) include one for 1999Q2 (not shown)
  6. The estimated intercept shifts are reported as % of the investment levels observed in 1994 and 2012
  7. All the variables are measured in natural logs times 100, except NIR and INF (in %) and M3 (% of GDP)