Variable

CNY

CNH

CNY(−1)

0.717489

0.052284

(0.04334)

(0.05616)

[16.5550]

[0.93104]

CNY(−2)

0.095928

−0.055391

(0.05254)

(0.06808)

[1.82570]

[−0.81360]

CNY(−3)

0.150733

0.132391

(0.05281)

(0.06843)

[2.85427]

[1.93478]

CNY(−4)

0.008464

0.043747

(0.05284)

(0.06846)

[0.16019]

[0.63897]

CNY(−5)

0.032160

−0.022961

(0.05234)

(0.06782)

[0.61444]

[−0.33857]

CNY(−6)

−0.069583

−0.124566

(0.04099)

(0.05312)

[−1.69742]

[−2.34514]

CNH(−1)

0.294690

0.984977

(0.03341)

(0.04330)

[8.81934]

[22.7500]