TABLE 5.
Asymmetric parameters of SPR.
| Variables | Short-term coefficients | Std. Error | t-stat | Prob. |
| D(USC_NEG) | −0.047867*** | 0.003539 | −13.52394 | 0 |
| D(USC_NEG(-1)) | −0.061323*** | 0.003402 | −18.02596 | 0 |
| D(USC_NEG(-2)) | −0.108895*** | 0.005569 | −19.55339 | 0 |
| D(USC_NEG(-3)) | −0.072915*** | 0.003619 | −20.14618 | 0 |
| D(USD_POS) | 0.713848*** | 0.036514 | 19.55011 | 0 |
| D(USD_POS(-1)) | 0.23431*** | 0.014268 | 16.42276 | 0 |
| D(USD_POS(-2)) | 0.194744*** | 0.01369 | 14.22562 | 0 |
| D(USD_POS(-3)) | 0.334891*** | 0.029691 | 11.27907 | 0 |
| D(USD_NEG) | −0.377433*** | 0.055371 | −6.816426 | 0 |
| D(USD_NEG(-1)) | 1.65514*** | 0.097958 | 16.89641 | 0 |
| D(USD_NEG(-2)) | −0.074692*** | 0.02737 | −2.728986 | 0 |
| D(USD_NEG(-3)) | 3.650475*** | 0.235321 | 15.51275 | 0 |
| ECTt–1 | −1.369525*** | 0.066813 | −20.49782 | 0 |
| R-Squared | 0.912909 | |||
| Adjusted R-squared | 0.892007 | |||
| Durbin-Watson stat | 2.006439 | |||
| Variables | Long-term Coefficients. | Std. Error | t-stat | Prob. |
| USC_POS | −0.004491*** | 0.001667 | −2.694157 | 0.0099 |
| USC_NEG | −0.054381*** | 0.014406 | 3.774912 | 0.0005 |
| USD_POS | 0.064436** | 0.029631 | 2.174626 | 0.035 |
| USD_NEG | −0.290139 | 0.338048 | −0.858278 | 0.3953 |
| C | 0.181416 | 0.264851 | 0.684971 | 0.4969 |
*, **, and *** denote 10, 5, and 1% level of significance, respectively. Source: Author’s calculation.