| |
|
ADF |
|
|
|
ADF |
|
|
MXWHIM |
level |
-0.57 |
-4.00 |
MXBMIM |
level |
-0.47 |
-3.01 |
| |
first differences |
-1.00 |
|
|
first differences |
-1.48 |
-6.57 |
|
MXWHEX |
level |
-0.46 |
-2.85 |
MXBMEX |
level |
-0.27 |
-1.97 |
| |
first differences |
-1.57 |
-6.59 |
|
first differences |
-1.42 |
-4.81 |
|
MXWHPF |
level |
-0.60 |
-2.71 |
MXBMPF |
level |
-0.27 |
-1.07 |
| |
first differences |
-1.25 |
-4.39 |
|
first differences |
-1.52 |
-4.68 |
|
MXMZIM |
level |
-0.76 |
-3.45 |
MXPMIM |
level |
-0.57 |
-3.10 |
| |
first differences |
|
|
|
first differences |
-1.35 |
-5.21 |
|
MXMZEX |
level |
-0.24 |
-1.96 |
MXPMEX |
level |
-0.54 |
-2.83 |
| |
first differences |
-1.28 |
-4.60 |
|
first differences |
-1.84 |
-6.30 |
|
MXMZPF |
level |
-0.31 |
-1.61 |
MXPMPF |
level |
-0.27 |
-1.07 |
| |
first differences |
-1.06 |
-3.95 |
|
first differences |
-1.51 |
-4.63 |
|
MXSHPF |
level |
-0.13 |
-1.08 |
MXPLIM |
level |
-1.13 |
-4.50 |
| |
first differences |
-1.07 |
-3.67 |
|
first differences |
-1.91 |
|
|
MXSYIM |
level |
-0.32 |
-2.22 |
MXPLPF |
level |
-0.36 |
-1.53 |
| |
first differences |
-1.11 |
-4.15 |
|
first differences |
-1.15 |
-3.43 |
|
MXSYPF |
level |
-0.05 |
-0.20 |
MXMPIM |
level |
-0.15 |
-1.17 |
| |
first differences |
-1.42 |
-3.79 |
|
first differences |
-1.69 |
-5.65 |
see Table 1 for variables' names
Bold = significantly different from zero at 5% or less
source: own calculation on ESCB price data
