Real Exchange Rate Misalignment: Prelude to Crisis?

Table 4: Russia: Johansen cointegration test; with linear deterministic trend and lag interval (in
first differences) 1 to 2

Unrestricted Cointegration Rank Tests

Hypothesized No. of CE’s	Eigen-value	Trace Statistic	5 Percent Critical Value	1 percent Critical Value
None	0.524723	122.95190	87.31	96.58
At most 1	0.371151	62.69944	62.99	70.05
At most 2	0.139696	25.12649	42.44	48.45
At most 3	0.100898	12.93849	25.32	30.45
At most 4	0.051976	4.32339	12.25	16.26

Hypothesized No. of CE’s	Eigen-value	Max-Eigen Statistic	5 Percent Critical Value	1 percent Critical Value
None	0.524723	60.25245	37.52	42.36
At most 1	0.371151	37.57296	31.46	36.65
At most 2	0.139696	12.18800	25.54	30.34
At most 3	0.100898	8.61509	18.96	23.65
At most 4	0.051976	4.32339	12.25	16.26

In Tables 5 and 6, the estimated cointegrating equations for the logarithm of real exchange
rate for Poland and Russia are presented. The t-statistics are in parentheses. Specification 1 in
each table is the initial specification. In order to correct for possible serial correlation and
simultaneity bias the equations are re-specified with DOLS. Specification 2 is the final result. To
confirm that the vector of the estimated coefficients is a cointegrating vector, ADF and Phillips-
Perron unit root tests are conducted on the residual series. The relevant critical values are
obtained from Philips and Ouliaris (1990, Table IIc). The tests strongly reject the null hypothesis

More intriguing information

1. The name is absent
2. Sectoral Energy- and Labour-Productivity Convergence
3. The name is absent
4. The name is absent
5. AN IMPROVED 2D OPTICAL FLOW SENSOR FOR MOTION SEGMENTATION
6. An Intertemporal Benchmark Model for Turkey’s Current Account
7. CONSUMER PERCEPTION ON ALTERNATIVE POULTRY
8. Expectations, money, and the forecasting of inflation
9. Internationalization of Universities as Internationalization of Bildung
10. Evolving robust and specialized car racing skills