Real Exchange Rate Misalignment: Prelude to Crisis?



Δlog(GOV(-l))

Δlog(DCRE(-l))

Δlog(NEER(-l))

MA(I)

-0.007514
(0.00)

-0.014223

(0.66)

-0.031447

(0.00)

0.602067
(0.00)


R2

0.91

0.94

Adj. R2

0.90

0.89

Root Mean Sqd. Error

0.017

0.014

Mean Absolute Error

0.013

0.010

Mean Absolute % Error

0.284

0.215

Durbin Watson

0.60

1.700

Breusch-Godfrey Stat.

6.02

Probability (B-G)

0.01

White Statistic

67.08

Probability(White)

0.00

ARCH Statistic

4.84

0.02

Probability (ARCH)

0.03

0.90

-0.009930

(0.00)

-0.006580

(0.00)

-0.010798

(0.03)
0.455863

(0.00)

0.004312

(0.00)
0.036309

(0.00)
0.096798

(0.00)

0.94

0.90

0.013

0.009

0.204

1.474

0.85

0.71

0.011

0.008

0.178

0.576

0.66

0.41

0.125

0.72

32



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