Table 6.

Estimation of the NARDL model (x_t = CPI, y_t = gold prices) (quarterly data).

France		USA		UK		Japan		China		India
Symmetric ARDL		NARDL with LR & SR asymmetry		NARDL with LR asymmetry		NARDL with LR asymmetry		Symmetric ARDL		Symmetric ARDL
goldt − 1	.012 (0.013)	goldt − 1	.154⁎⁎⁎ (0.035)	goldt − 1	.109⁎⁎⁎ (0.024)	goldt − 1	.078** (0.034)	goldt − 1	001 (0.093)	goldt − 1	.082 (0.116)
cpit − 1	045 (0.043)	cpit − 1+	011 (0.039)	cpit − 1+	.088* (0.049)	cpit − 1+	.425⁎ (0.717)	cpit − 1	.201 (0.396)	cpit − 1	063 (0.237)
		cpit − 1−	.632⁎⁎⁎ (1.206)	cpit − 1−	.011*** (1.775)	cpit − 1−	.333⁎⁎⁎ (0.831)	Δcpit+	435** (1.077)
		Δgoldt − 1	155⁎⁎ (0.080)			Δgoldt − 1	.192⁎ (0.106)
		Δcpit+	631⁎⁎⁎ (1.290)
Const.	0.064 (0.094)	Const.	0.718⁎⁎⁎ (0.180)	Const.	0.627⁎⁎⁎ (0.143)	Const.	0.368⁎⁎ (0.150)	Const.	0.039 (0.426)	Const.	0.454 (0.548)
Lcpi	669	$L_{cp{i}^{+}}$	074	$L_{cp{i}^{+}}$	.808⁎	$L_{cp{i}^{+}}$	8.112⁎	Lcpi	9.431	Lcpi	769
		$L_{cp{i}^{-}}$	0.044⁎⁎⁎	$L_{cp{i}^{-}}$	3.025⁎⁎⁎	$L_{cp{i}^{-}}$	9.651⁎⁎⁎
AIC	202.856	AIC	− 307.228	AIC	− 308.172	AIC	− 224.932	AIC	− 100.330	AIC	− 87.998
SIC	261.451	SIC	− 280.562	SIC	− 287.432	SIC	− 205.023	SIC	− 82.488	SIC	− 78.332
JB	354751.3⁎⁎⁎	JB	6.455⁎⁎	JB	7.029⁎⁎	JB	34.080⁎⁎⁎	JB	13.032⁎⁎⁎	JB	0.267
ARCH	0.339	ARCH	12.780	ARCH	3.774	ARCH	6.031	ARCH	11.501	ARCH	10.214

Notes: This table reports the estimation results of the best-suited NARDL specifications for the pass-through of the CPI to gold prices. For the lagged variables, we only present those with significant coefficients. L_cpi indicates the long-run coefficient between gold prices and consumer prices. $L_{cp{i}^{+}}$ and $L_{cp{i}^{-}}$ are the asymmetric positive and negative long-run coefficients. Standard deviations are in parenthesis. JB and ARCH refer to the empirical statistics of the Jarque–Bera test for normality and the Engle (1982) test for conditional heteroscedasticity applied to 12 lags. ^⁎, ^⁎⁎ and ^⁎⁎⁎ denote significance at the 10%, 5% and 1% levels, respectively. ⁺⁺⁺ indicates the rejection of the null hypotheses of normality and ARCH effects on residuals at the 1% level.