∆lnXREUROt-2 |
-0.082630 [-0.17979] |
0.136039 [ 1.47662] |
-0.094994 [-0.72641] |
0.045497 [ 0.22352] |
∆lnXREUROt-3 |
-0.350875 [-0.76772] |
-0.041217 [-0.44989] |
-0.320742 [-2.46641] |
0.045060 [0.22261] |
∆lnM1At-1 |
-0.344271 [-0.81551] |
0.001166 [ 0.01378] |
-0.266600 [-2.21948] |
-0.362669 [-1.93974] |
∆lnM1At-2 |
-0.040444 [-0.09884] |
0.024642 [ 0.30042] |
-0.226520 [-1.94553] |
-0.223882 [-1.23536] |
∆lnM1At-3 |
0.436417 [ 1.14138] |
-0.072496 [-0.94586] |
-0.222130 [-2.04173] |
-0.084588 [-0.49951] |
C |
0.008236 [ 0.43235] |
-0.000118 [-0.03084] |
0.014232 [ 2.62579] |
0.023670 [ 2.80560] |
^r2 |
0.509773 |
0.522253 |
0.566863 |
0.292089 |
Adj. R2 |
0.327914 |
0.345025 |
0.406183 |
0.029476 |
Akaike criterion |
-3.365201 |
-6.579540 |
-5.878990 |
-4.994069 |
Schwarz criterion |
-2.680267 |
-5.894606 |
-5.194055 |
-4.309135 |
Jarque-Bera |
4.858* |
315 |
-- 5.903 |
--------------⅜⅜⅜----- |
a because of space limitations, coefficients up to the 3rd lag are shown only
b t-statistics in brackets
Note: ***1% significance level, **5% significance level, ***10% significance level
The coefficients of the three cointegration equations in the VECM, called the speeds of
adjustment (α in equation 12), measure how quickly the system returns to its long run
equilibrium after a temporary shock. More exactly, if say, the agricultural prices are
overshooting their long run equilibrium path, then the associated α value must be negative,
implying that prices must fall in order to re-establish the long run equilibrium between money
supply and prices. By considering one flexible (agriculture and exchange rate) and one sticky
(industry) sector, we would expect to have larger (in absolute value) α parameters associated
with flexible sector prices than with the sticky sector prices (Shagaian et al. 2002). The speeds
of adjustment to the long run equilibrium of the agricultural, industrial prices and exchange
rate are -0.4799, -0.1219, -0.2983 (table 7, in Italic), all negative as expected and significant,
except industrial prices. More, the values associated with flexible sector prices are bigger (in
absolute values) than the one associated with the industrial prices, suggesting a faster
adjustment of the flexible sector, result also consistent with the literature. None of the error
correction terms seem to be significant in the industrial price equation, suggesting exogeneity
14
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