Table 8
Russia: error correction equations (equation (5)) for real exchange rate
Coefficients Estimates
(p-value)
|
Variable |
Specification 1 |
Specification 2 (EGARCH(7, 5)) (1995:06 - 2001:08) |
Specification 3 (EGARCH(6, 5) |
Specification 4 |
|
EC(-1) |
-0.041617 |
-0.040402 |
-0.043432 |
-0.014057 |
|
(0.10) |
(0.00) |
(0.00) |
(0.00) | |
|
DUMMY |
0.009362 | |||
|
(0.00) | ||||
|
∆log(TOT) |
0.187391 | |||
|
(0.01) | ||||
|
∆FLOW |
-0.502740 |
0.125576 |
0.089474 |
-0.080262 |
|
(0.07) |
(0.00) |
(0.00) |
(0.00) | |
|
∆log(OPEN) |
-0.112147 |
-0.067293 |
-0.056559 |
-0.034273 |
|
(0.03) |
(0.00) |
(0.00) |
(0.00) | |
|
∆log(GOV) |
0.017466 |
0.007556 |
0.012137 |
0.000553 |
|
(0.04) |
(0.00) |
(0.00) |
(0.00) | |
|
∆log(DCRE) |
-0.164652 |
0.018252 |
0.030077 |
0.011302 |
|
(0.03) |
(0.00) |
(0.00) |
(0.00) | |
|
∆log(NEER) |
0.591833 |
0.607370 |
0.616844 |
1.505580 |
|
(0.00) |
(0.00) |
(0.00) |
(0.00) | |
|
∆FLOW(-1) |
0.104308 |
0.043656 |
0.260063 | |
|
(0.00) |
(0.00) |
(0.00) | ||
|
∆log(OPEN(-1)) |
0.014002 |
0.028187 |
0.011548 | |
|
(0.16) |
(0.00) |
(0.29) |
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