|
|
ADF |
|
|
|
ADF |
|
THWHIM |
level |
-0.32 |
-2.29 |
THRIPF |
level |
-0.43 |
-3.25 |
|
first differences |
-1.21 |
-4.66 |
|
first differences |
-1.05 |
-4.75 |
THMZIM |
level |
-0.30 |
-1.86 |
THRIWS |
level |
-0.22 |
-1.99 |
|
first differences |
-1.70 |
-5.86 |
|
first differences |
-0.95 |
-4.68 |
THMZEX |
level |
-0.60 |
-2.92 |
THRIRT |
level |
-0.30 |
-2.53 |
|
first differences |
-1.83 |
-6.42 |
|
first differences |
-0.84 |
-3.64 |
THMZPR |
level |
-0.40 |
-3.06 |
THCSPR |
level |
-0.92 |
-3.79 |
|
first differences |
-1.27 |
-6.28 |
|
first differences |
|
|
THMZPF |
level |
-0.41 |
-2.84 |
THCSPF |
level |
-1.24 |
-4.71 |
|
first differences |
-1.17 |
-5.35 |
|
first differences |
-1.94 |
-6.81 |
THMZWS |
level |
-0.28 |
-2.55 |
THBMPF |
level |
-0.25 |
-1.85 |
|
first differences |
-1.06 |
-5.91 |
|
first differences |
-0.94 |
-3.60 |
THSHPR |
level |
-0.35 |
-2.35 |
THPLPR |
level |
-0.16 |
-1.71 |
|
first differences |
-1.26 |
-4.47 |
|
first differences |
-0.98 |
-4.60 |
THSHWS |
level |
-0.28 |
-2.18 |
THPLWS |
level |
-0.31 |
-2.11 |
|
first differences |
-1.23 |
-5.40 |
|
first differences |
-1.10 |
-4.14 |
THRIEX |
level |
-0.48 |
-3.49 |
THPLRT |
level |
-0.38 |
-2.35 |
|
first differences |
-1.15 |
-5.48 |
|
first differences |
-1.36 |
-5.39 |
THRIPR |
level |
-0.27 |
-2.34 |
THPMPF |
level |
-0.51 |
-2.88 |
|
first differences |
-0.91 |
-4.43 |
|
first differences |
-1.37 |
-4.90 |
see Table 1 for variables' names
Bold = significantly different from zero at 5% or less
source: own calculation on ESCB price data