Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

Table 4

Results of Johansen maximum likelihood estimation (cases of Japanese Yen and Euro).

	Trace test		Trace test (Bartlett corrected)
	Test stat	5% critical	Test stat	5% critical
Japanese yen
	150.7413*	125.6154	150.6390*	119.0333
	110.2436*	95.75366	109.8840*	90.6879
	73.20739*	69.81889	71.3363*	65.6812
	48.81493*	47.85613	47.0563*	44.7681
	26.41220	29.79707	26.9663	27.8897
	7.910242	15.49471	8.9030	14.5554
	0.008857	3.841466	0.0046	3.8415
Euro
	148.0000*	125.6154	146.3251*	121.2331
	105.8670*	95.75366	104.0291*	90.9609
	70.55259*	69.81889	68.6458*	67.0571
	45.33103	47.85613	43.0012	44.4335
	21.03687	29.79707	22.4194	29.2753
	7.290067	15.49471	6.9106	14.975
	0.264802	3.841466	0.2377	3.8415

Notes: denotes the number of cointegrating vectors; the 5% critical values of the Trace statistics are taken from Osterwald-Lenum [45]; asterisk () denotes the rejection of the hypothesis of no cointegration at 5% significance level; critical values for Bartlett corrected trace test is based on Doornik [46]; Bartlett corrected trace test is computed using SVAR 0.45 (http://www.texlips.net/svar/); the top panel reports the tests for the case of Japanese yen and the bottom panel of the table reports the tests for the case of Euro.