Dependent variable 
Regressors 

sample: Jan 1990  May 2001 

SNRIRT 
= 
RIRP 
cointegration * 




0.46 
0.31 




2.51 
3.82 


dSNRIRT 
= 
dSNRIRT1 
dWRRIRP2 
dWRRIRP6 
ecm(1) 


0.25 
0.57 
0.59 
0.31 


2.85 
3.76 
4.15 
4.93 
sample: Jan 1988  May 2001 

SNMZRT 
= 
WRMZRP 
cointegration * 




0.59 
0.19 




2.15 
3.01 


dSNMZRT 
= 
dWRMZRP 
ecm(1) 




0.28 
0.15 




2.01 
3.71 


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