Liquidity, Asset Price Volatility, and Monetary Policy Choices: Empirical Evidence from China
Table 2
Unit root ADF test.
Variables
(C, T, P)
ADF
Critical value [1%]
P value
Testing results
M2
(C, 0, 3)
−1.9251
−4.0966
Unstable
R
(0, 0, 0)
−0.7972
−2.5791
Unstable
LC
(C, 0, 0)
−1.6695
−3.4697
Unstable
LB
(0, 0, 0)
−0.7278
−2.5791
Unstable
LM
(C, 0, 0)
−3.2719
−3.4697
Unstable
GDP
(C, 0, 0)
−2.0849
−3.4697
Unstable
CPI
(C, 0, 2)
−2.7578
−3.4702
Unstable
SP
(C, 0, 5)
−5.0759
−3.4709
Stable
HP
(C, 0, 7)
−3.5427
−3.4715
Stable
DM2
(C, 0, 2)
−4.9591
−3.4704
Stable
DR
(0, 0, 0)
−10.9863
−2.5791
Stable
DLC
(C, 0, 0)
−13.8789
−3.4699
Stable
DLB
(0, 0, 0)
−10.6607
−2.5791
Stable
DLM
(C, 0, 0)
−11.6370
−3.4699
Stable
DGDP
(C, 0, 0)
−12.8441
−3.4699
Stable
DCPI
(C, 0, 2)
−5.1034
−3.4704
Stable
Note. DM2, DR, DLC, DLB, DLM, DGDP and DCPI represent the first-order differences of M2, R, LC, LB, LM, GDP and CPI, respectively; C, T and P in the test form (C, T, P) represent the constant term, the trend and the optimal lag order, respectively.
