Table 2 Unit root and cointegration...

Table 2

Unit root and cointegration tests

	Variable			Test model
	Variable			Constant	Constant + trend
Unit root test	US	Government bonds (10-year)	Level	−1.408	−2.849
		Government bonds (10-year)	Differenced	−9.068***	−9.037***
		GDP	Level	−2.097	−2.555
		GDP	Differenced	−11.882***	−12.192***
		CPI	Level	−1.559	1.364
		CPI	Differenced	−10.263***	−10.433***
	South Korea	Government bonds (3-year)	Level	−2.176	−1.821
		Government bonds (3-year)	Differenced	−7.452***	−6.231***
		GDP	Level	−1.978	−0.904
		GDP	Differenced	−6.977***	−7.216***
		CPI	Level	−2.05	0.325
		CPI	Differenced	−5.054***	−5.081***

	Variable			Test model
	Variable			Constant	Constant + trend
Unit root test	US	Government bonds (10-year)	Level	−1.408	−2.849
		Government bonds (10-year)	Differenced	−9.068***	−9.037***
		GDP	Level	−2.097	−2.555
		GDP	Differenced	−11.882***	−12.192***
		CPI	Level	−1.559	1.364
		CPI	Differenced	−10.263***	−10.433***
	South Korea	Government bonds (3-year)	Level	−2.176	−1.821
		Government bonds (3-year)	Differenced	−7.452***	−6.231***
		GDP	Level	−1.978	−0.904
		GDP	Differenced	−6.977***	−7.216***
		CPI	Level	−2.05	0.325
		CPI	Differenced	−5.054***	−5.081***

	H0	Trend included	Trace	CV (95%)	Max-Eigen	CV (95%)
Johansen Test	r = 0	X	95.261	95.754	33.831	40.078
Johansen Test	r = 0	O	110.302	117.708	35.757	44.497

Note(s): This table shows the results of the unit root and cointegration tests of each variable from the second quarter of 1995 to the fourth quarter of 2020 data. The unit root test was performed based on the augmented Dickey–Fuller (ADF) test. The null hypothesis for the ADF test is “the unit root exists in the data,” and *** indicates a statistical significance level of 1%. The constant variable includes only the constant figure in the unit root test, and the “constant + trend” represents the constant and the time trend. The null hypothesis in the cointegration test is “no cointegration vector exists”

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