Table IV.

Unit root tests of the return series of interbank rates

ADFKPSSADFKPSSADFKPSSADFKPSSADFKPSS
 D(CDI)D(TIRUSSIA)D(MIBOR)D(SHIBOR)SABOR (2D)
Test statistic−9.0888020.14663−21.9764400.05065−21.1222400.024991−15.17470.06602−15.85590.12942
Critical values: 1%−3.4323460.73900−3.4323240.73900−3.4320950.739000−3.43520.73900−3.43590.73900
5%−2.8623070.46300−2.8622980.46300−2.8621960.463000−2.86360.463002.86390.46300
10%−2.5672230.34700−2.5672180.34700−2.5671630.347000−2.56790.347002.56810.34700
Probability0.0001 0.0000 0.0000 0.0000 0.0000 
 D(TICHILE)D(BAIBOR)D(TIEE)    
Test statistic−5.8230290.340004−13.97340.04275−41.00040.2048    
Critical values: 1%−3.4325380.739000−3.43240.73900−3.43230.7390    
5%−2.8623920.463000−2.86230.46300−2.86230.4630    
10%−2.5672680.347000−2.56720.34700−2.56720.3470    
Probability0.0000 0.0000 0.0000     
 D(EURIBOR)D(TMIR)D(FFUNDS)    
Test statistic−27.0177100.09968−31.4660800.113255−28.81680.21442    
Critical values: 1%−3.4322960.73900−3.4323830.739000−3.43170.73900    
5%−2.8622850.46300−2.8623240.463000−2.86200.46300    
10%−2.5672110.34700−2.5672320.347000−2.56710.34700    
Probability0.0000 0.0001 0.0000     
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