Real Exchange Rate Misalignment: Prelude to Crisis?



the null hypothesis is the existence of a unit root, i.e. the series (at the level or at the first

difference) is non-stationary. A low p-value indicates stationarity.

Table 1

Poland: summary results for unit root tests1

Variable           ADF(k)2 P-Value S/N3   Phillips-Perron(b)4 P-Value S/N

log(e)

-3.07(1)

0.12

N

-2.38(3)

0.38

N

∆log(e)

-6.03(0)

0.00

S

-5.59(9)

0.00

S

log(TOT)

-1.15(11)

0.69

N

-7.14(4)

0.00

S

∆log(TOT)

-3.10(11)

0.00

S

-16.07(3)

0.00

S

FLOW

-2.34(1)

0.40

N

-2.27(2)

0.44

N

∆FLOW

- 7.30(0)

0.00

S

-7.30(3)

0.00

S

log(OPEN)

-5.92(0)

0.00

S

-5.92(0)

0.00

S

∆log(OPEN)

-2.37(11)

0.01

S

-17.05(32)

0.00

S

log(GOV)

-1.93(9)

0.63

N

-4.22(5)

0.00

S

∆log(GOV)

-14.85(8)

0.00

S

-12.53(3)

0.00

S

log(NEER)

-2.06(2)

0.26

N

-2.08(5)

0.25

N

∆log(NEER)

-6.80(1)

0.00

S

-5.70(16)

0.00

S

log(DCRE)

-2.02(0)

0.58

N

-1.98(2)

0.60

N

∆log(DCRE)

-10.00(0)

0.00

S

-10.00(0)

0.00

S

1 Test equations were chosen with or without intercept and/or trend terms depending on the
P-value of the t-statistics in the test equation.

2 k is the optimal lag length indicated by the Schwartz Information criterion from a maximum
length of 12.

3 S is ‘stationary’ and N is ‘non-stationary’, as indicated by the corresponding test statistic at
5% level of significance.

4 b is the bandwidth chosen by the Newey-West bandwidth criterion.

18



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