| |
|
ADF |
PP |
| |
|
coefficient -1 |
coefficient -1 |
|
ISMZWS |
level |
-0.05 |
-0.05 |
| |
|
-2.16 |
-2.41 |
| |
first differences |
-1.18 |
-1.07 |
| |
|
-4.86 |
-17.52 |
|
ISCFWS |
level |
-0.06 |
-0.07 |
| |
|
-2.65 |
-2.92 |
| |
first differences |
-0.99 |
-1.21 |
| |
|
-6.34 |
-20.07 |
|
ISCPWS |
level |
-0.04 |
-0.03 |
| |
|
-1.83 |
-1.87 |
| |
first differences |
-1.03 |
-0.97 |
| |
|
-4.43 |
-14.90 |
|
ISRIWS |
level |
-0.05 |
-0.04 |
| |
|
-2.20 |
-2.14 |
| |
first differences |
-1.00 |
-0.82 |
| |
|
-4.48 |
-13.44 |
|
ISRI1WS |
level |
-0.14 |
-0.12 |
| |
|
-3.45 |
-4.10 |
|
ISSHWS |
level |
-0.14 |
-0.18 |
| |
|
-3.51 |
-5.14 |
|
ISSYWS |
level |
-0.06 |
-0.07 |
| |
|
-2.05 |
-3.03 |
| |
first differences |
-1.53 |
-0.85 |
| |
|
-6.36 |
-13.98 |
|
ISBM1WS |
level |
-0.08 |
-0.04 |
| |
|
-2.45 |
-2.28 |
| |
first differences |
-1.30 |
-0.92 |
| |
|
-5.19 |
-14.24 |
|
ISBMWS |
level |
-0.05 |
-0.04 |
| |
|
-2.46 |
-2.40 |
| |
first differences |
-1.01 |
-0.88 |
| |
|
-5.22 |
-14.37 |
see Table 1 for variables' names
Bold = significantly different from zero at 5% or less
source: own calculation on ESCB price data
