|
Dependent variable |
Regressors |
|||||||||
|
sample: Aug 1989 - May 2001 |
||||||||||
|
EGWHWS |
= |
WRWHRP |
cointegration * |
|
|
|
|
|
|
|
| |
|
1.24 |
-0.09 |
|
|
|
|
|
|
|
| |
|
2.10 |
-3.47 |
|
|
|
|
|
|
|
|
dEGWHWS |
= |
dEGWHWS1 |
dEGWHWS4 |
dEGWHWS6 |
dEGWHWS8 |
dWRWHRP |
ecm-1 |
|
|
|
| |
|
-0.21 |
-0.17 |
-0.23 |
0.20 |
0.09 |
-0.07 |
|
|
|
| |
|
-2.50 |
-2.13 |
-3.05 |
2.67 |
2.81 |
-3.45 |
|
|
|
|
sample: Jan 1969 - May 2001 |
||||||||||
| |
= |
WRWHWS |
cointegration * |
|
|
|
|
|
|
|
| |
|
0.93 |
-0.19 |
|
|
|
|
|
|
|
| |
|
10.62 |
-4.95 |
|
|
|
|
|
|
|
|
dEGWHRT |
= |
dEGWHRT1 |
dEGWHRT2 |
dEGWHRT3 |
dEGWHRT4 |
dEGWHRT5 |
dEGWHRT6 |
dEGWHRT7 |
dEGWHWS |
dEGWHWS1 |
| |
|
-0.23 |
-0.17 |
-0.18 |
-0.16 |
-0.22 |
-0.22 |
-0.09 |
0.66 |
0.21 |
| |
|
-3.83 |
-2.80 |
-3.12 |
-2.89 |
-4.10 |
-4.05 |
-1.62 |
21.40 |
3.96 |
| |
|
dEGWHWS2 |
dEGWHWS3 |
dEGWHWS4 |
dEGWHWS5 |
dEGWHWS6 |
dEGWHWS7 |
dEGWHWS8 |
ecm-1 |
|
| |
|
0.15 |
0.15 |
0.17 |
0.20 |
0.19 |
0.10 |
0.09 |
-0.07 |
|
| |
|
2.79 |
2.86 |
3.35 |
3.89 |
3.78 |
2.05 |
2.99 |
-1.93 |
|
|
sample: Jan 1969 - May 2001 |
||||||||||
|
EGSHRT |
= |
EGSHWS |
cointegration * |
|
|
|
|
|
|
|
| |
|
1.00 |
-0.22 |
|
|
|
|
|
|
|
| |
|
-23.21 |
-5.27 |
|
|
|
|
|
|
|
|
dEGSHRT |
= |
dEGSHRT1 |
dEGSHRT4 |
dEGSHRT6 |
dEGSHRT7 |
dEGSHWS |
dEGSHWS1 |
dEGSHWS2 |
dEGSHWS3 |
dEGSHWS4 |
| |
|
-0.21 |
-0.14 |
-0.11 |
-0.08 |
0.77 |
0.19 |
0.15 |
0.13 |
0.13 |
| |
|
-3.48 |
-2.62 |
-2.18 |
-2.53 |
-23.94 |
-3.24 |
-2.69 |
-2.35 |
-2.31 |
| |
|
dEGSHWS5 |
dEGSHWS6 |
ecm-1 |
|
|
|
|
|
|
| |
|
0.12 |
0.13 |
-0.12 |
|
|
|
|
|
|
| |
|
2.26 |
2.62 |
-2.77 |
|
|
|
|
|
|
|
sample: Jan 1969 - Jul 1989 |
||||||||||
|
EGBMWS |
= |
WRBMRP |
cointegration * |
|
|
|
|
|
|
|
| |
|
-0.71 |
-0.11 |
|
|
|
|
|
|
|
| |
|
-3.26 |
-3.50 |
|
|
|
|
|
|
|
|
dEGBMWS |
= |
dWRBMRP |
ecm-1 |
|
|
|
|
|
|
|
| |
|
-0.06 |
-0.09 |
|
|
|
|
|
|
|
| |
|
-2.58 |
-3.45 |
|
|
|
|
|
|
|
|
sample: Jan 1969 - May 2001 |
||||||||||
|
EGBMRT |
= |
EGBMWS |
cointegration * |
|
|
|
|
|
|
|
| |
|
1.03 |
-0.25 |
|
|
|
|
|
|
|
| |
|
62.95 |
-5.24 |
|
|
|
|
|
|
|
|
dEGBMRT |
= |
dEGBMRT1 |
dEGBMRT11 |
dEGBMWS |
dEGBMWS1 |
ecm-1 |
|
|
|
|
| |
|
-0.16 |
0.14 |
0.82 |
0.18 |
-0.28 |
|
|
|
|
| |
|
-3.11 |
4.42 |
24.77 |
3.34 |
-6.93 |
|
|
|
|
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
