Table 8

VECM estimates

Panel A: Long-run relationship
Cointegrating EqCointEq1
LJSE15(−1)1.0000
CPI(−1)0.0402
t-statistics[6.3152]*
EXR(−1)−0.1003
t-statistics[−4.6431]*
INT(−1)0.0050
t-statistics[0.3220]
LGDP(−1)−2.3298
t-statistics[−10.5664]*
C24.6516
Panel B: Short-run relationship
Error correctionD(JSE15)
CointEq1−0.1962
t-statistics[−2.5497]*
D(LJSE15(−1))−0.0573
t-statistics[−0.5097]
D(LJSE15(−2))0.0628
t-statistics[0.5149]
D(LJSE15(−3))0.3215
t-statistics[2.6510]*
D(LJSE15(−4))0.1588
t-statistics[1.3310]
D(CPI(−1))−0.0909
t-statistics[−2.8346]*
D(CPI(−2))0.002821
t-statistics[0.09234]
D(CPI(−3))0.0055
t-statistics[0.1852]
D(CPI(−4))−0.0357
t-statistics[−1.1860]
D(EXR(−1))−0.0220
t-statistics[−1.3225]
D(EXR(−2))0.0252
t-statistics[1.5093]
D(EXR(−3))−0.0091
t-statistics[−0.5540]
D(EXR(−4))0.0029
t-statistics[0.1759]
D(INT(−1))0.0180
t-statistics[0.5457]
D(INT(−2))−0.1017
t-statistics[−2.6812]*
D(INT(−3))0.03141
t-statistics[0.8263]
D(INT(−4))0.0254
t-statistics[0.7642]
D(LGDP(−1))0.6751
t-statistics[1.2359]
D(LGDP(−2))0.6267
t-statistics[1.1145]
D(LGDP(−3))0.3318
t-statistics[0.5700]
D(LGDP(−4))0.4108
t-statistics[0.7894]
DM1−0.0065
t-statistics[−0.0783]
DM2−0.6449
t-statistics[−7.3670]

Note(s): t-statistics values with * indicate that variable is statistically significant

Source: Authors' computation
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