|
Dependent variable |
Regressors |
||||||
|
sample: Jan 1965 - May 2001 |
|||||||
|
GHMZWS |
= |
WRMZRP |
cointegration * |
|
|
|
|
| |
|
2.89 |
-0.04 |
|
|
|
|
| |
|
2.72 |
-2.99 |
|
|
|
|
|
dGHMZWS |
= |
dGHMZWS1 |
dGHMZWS7 |
dGHMZWS8 |
dGHMZWS11 |
dWRMZRP8 |
ecm(-1) |
| |
|
0.16 |
0.09 |
-0.12 |
0.26 |
-0.73 |
-0.04 |
| |
|
3.46 |
1.99 |
-2.57 |
5.57 |
-3.65 |
-2.97 |
|
sample: Jan 1967 - May 2001 |
|||||||
|
GHSHWS |
= |
WRSHRP |
cointegration * |
|
|
|
|
| |
|
2.62 |
-0.06 |
|
|
|
|
| |
|
1.92 |
-2.57 |
|
|
|
|
|
dGHSHWS |
= |
dGHSHWS1 |
dGHSHWS2 |
ecm(-1) |
|
|
|
| |
|
-0.37 |
-0.12 |
-0.05 |
|
|
|
| |
|
-7.41 |
-2.36 |
-2.66 |
|
|
|
|
sample: Jan 1965 - May 2001 |
|||||||
|
GHGRWS |
= |
WRGRRP |
cointegration * |
|
|
|
|
| |
|
2.54 |
-0.07 |
|
|
|
|
| |
|
2.87 |
-4.18 |
|
|
|
|
|
dGHGRWS |
= |
dGHGRWS5 |
dGHGRWS9 |
dGHGRWS11 |
dWRGRRP1 |
ecm(-1) |
|
| |
|
-0.34 |
-0.17 |
0.15 |
-0.29 |
-0.03 |
|
| |
|
-6.39 |
-2.99 |
2.44 |
-2.31 |
-2.46 |
|
|
sample: Jan 1990 - May 2001 |
|||||||
|
GHMZRT |
= |
GHMZWS |
cointegration * |
|
|
|
|
| |
|
0.71 |
-0.31 |
|
|
|
|
| |
|
8.78 |
-3.60 |
|
|
|
|
|
dGHMZRT |
= |
dGHMZRT1 |
dGHMZRT4 |
dGHMZRT5 |
dGHMZWS |
dGHMZWS4 |
dGHMZWS5 |
| |
|
0.28 |
0.21 |
0.23 |
0.73 |
-0.18 |
-0.15 |
| |
|
3.08 |
2.23 |
2.48 |
15.34 |
-2.29 |
-1.97 |
|
sample: Jan 1990 - May 2001 |
|||||||
|
GHSHRT |
= |
GHSHWS |
cointegration * |
|
|
|
|
| |
|
0.62 |
-0.34 |
|
|
|
|
| |
|
5.88 |
-3.80 |
|
|
|
|
|
dGHSHRT |
= |
dGHSHWS |
ecm(-1) |
|
|
|
|
| |
|
0.09 |
-0.22 |
|
|
|
|
| |
|
3.13 |
-4.50 |
|
|
|
|
|
sample: Jan 1990 - May 2001 |
|||||||
|
GHPORT |
= |
GHPOWS |
cointegration * |
|
|
|
|
| |
|
0.66 |
-0.49 |
|
|
|
|
| |
|
4.97 |
-5.14 |
|
|
|
|
|
dGHPORT |
= |
dGHPORT3 |
dGHPORT4 |
dGHPOWS |
ecm(-1) |
|
|
| |
|
0.17 |
-0.22 |
0.11 |
-0.37 |
|
|
| |
|
1.97 |
-2.58 |
2.34 |
-4.81 |
|
|
|
sample: Jan 1990 - May 2001 |
|||||||
|
GHRI1RT |
= |
GHRI1WS |
cointegration * |
|
|
|
|
| |
|
0.69 |
-0.40 |
|
|
|
|
| |
|
3.88 |
-4.64 |
|
|
|
|
|
dGHRI1RT |
= |
dGHRI1RT1 |
dGHRI1WS |
ecm(-1) |
|
|
|
| |
|
-0.27 |
0.19 |
-0.27 |
|
|
|
| |
|
-2.92 |
2.19 |
-3.09 |
|
|
|
|
sample: Jan 1990 - May 2001 |
|||||||
|
GHCSRT |
= |
GHCSWS |
cointegration * |
|
|
|
|
| |
|
0.73 |
-0.49 |
|
|
|
|
| |
|
6.53 |
-3.71 |
|
|
|
|
|
dGHCSRT |
= |
dGHCSRT1 |
dGHCSWS |
ecm(-1) |
|
|
|
| |
|
-0.19 |
0.35 |
-0.48 |
|
|
|
| |
|
-2.13 |
4.41 |
-5.35 |
|
|
|
see Table 1 for variables' names
* figures reported are the ADF coefficients and t values for the level of the residual of the static regression between the two variables reported on the left. This corresponds to the Engle and Granger (1987) test for cointegration source: own calculation on ESCB price data
