TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...

Empirical Analysis: Cointegration Models Accounting for Policy Regime Changes
0,5
-0,5
α
82
Figure 5.2 Residuals from the cointegration relationship of Model 1 for swfr and wref
1978:12-2003:12
1 9 7 8 :1 2
LM test
ARCH(13)
1 9 8 0 :1 2
1 9 8 2 :1 2
1 9 8 4 :1 2
Table 5.3 Model 1a estimates for swfr and hrw, 1978:12-1993:06
∆swfr ∆hrw Cointegration vector
-0.172***
(0.041)
1.629
(p-value 0.063)
11.100
(p-value 0.049)
1 9 8 6 :1 2
1 9 8 8 :1 2
1 9 9 0 :1 2
-0.007
(0.059)
0.750
(p-value 0.753)
4.463
(p-value 0.485)
swfr = 3 . 968*
* + 0.
226
t
( 0.
341)
# # # ;
( 0.
069)
*
* *
hrw
cost = 0 χ 2 = 5.940 (p-value 0.015)
β hrw = 1 χ 2 = 6.901 (p-value 0.009)
β hrw = 0 χ 2 = 7.008 (p-value 0.008)
Standard errors are reported in parenthesis
LM test: Lagrange Multiplier test with the null hypothesis of no-autocorrelation
*significant at 10%; **significant at 5%; *** significant at 1% for the null hypothesis of zero coefficients (#, ##
and ### respectively if for βhrw the null hypothesis of equal to one is rejected)
In the cointegration model, the transmission elasticity is statistically different
from one and the constant is very high and significantly different from zero. Only
the French price adjusts to disequilibria, whereas the US adjustment coefficient
has not even the expected sign and is very small.
information criteria than when either all dummies were included or the model was estimated with 13 lags
(optimal number when monthly dummies were not considered) and no dummies.
1 9 9 2 :1 2
1 9 9 4 :1 2
1 9 9 6 :1 2
1 9 9 8 :1 2
2 0 0 0 :1 2
2 0 0 2 :1 2 ce_1
t