Table 1 DF-GLS test results for...

Table 1

DF-GLS test results for individual series

	Level series	Differenced series	Level series	Differenced series
	Real exchange rate		Interest rate differential
UK–Canada	−2.409633	−16.14660***	−2.906923	−12.95680***
UK–Australia	−1.806277	−14.15482***	−1.606476	−7.266742***
UK–New Zealand	−2.244035	−15.27184***	−2.404156	−8.202538***
UK–Sweden	−2.335293	−14.01395***	−3.412704	−8.718320***
Canada–Australia	−3.127759	−15.17735***	−1.482159	−8.561225***
Canada–New Zealand	−2.457177	−15.36612***	−1.956365	−9.431650***
Canada–Sweden	−2.767811	−13.68189***	−1.818217	−8.998787***
Australia–New Zealand	−3.083718	−15.01991***	−2.614297	−13.06459***
Australia–Sweden	−2.611152	−13.51788***	−0.128862	−7.785444***
New Zealand–Sweden	−2.405530	−12.82593***	−0.279920	−7.981418***

	Level series	Differenced series	Level series	Differenced series
	Real exchange rate		Interest rate differential
UK–Canada	−2.409633	−16.14660***	−2.906923	−12.95680***
UK–Australia	−1.806277	−14.15482***	−1.606476	−7.266742***
UK–New Zealand	−2.244035	−15.27184***	−2.404156	−8.202538***
UK–Sweden	−2.335293	−14.01395***	−3.412704	−8.718320***
Canada–Australia	−3.127759	−15.17735***	−1.482159	−8.561225***
Canada–New Zealand	−2.457177	−15.36612***	−1.956365	−9.431650***
Canada–Sweden	−2.767811	−13.68189***	−1.818217	−8.998787***
Australia–New Zealand	−3.083718	−15.01991***	−2.614297	−13.06459***
Australia–Sweden	−2.611152	−13.51788***	−0.128862	−7.785444***
New Zealand–Sweden	−2.405530	−12.82593***	−0.279920	−7.981418***

	Money supply differential		Output differential
UK–Canada	0.726967	−11.16236***	−5.745060***	−13.50751***
UK–Australia	−1.248922	−4.529805***	−5.538494***	−13.37257***
UK–New Zealand	−0.178168	−4.623221***	−3.617988**	−3.617988**
UK–Sweden	−1.576314	−6.571804***	−5.576428***	−13.86241***
Canada–Australia	0.680567	−14.49548***	−3.454509**	−14.72166***
Canada–New Zealand	−3.002544	−15.50797***	−4.728182***	−13.73744***
Canada–Sweden	−1.040547	−13.08886***	−5.921135***	−14.70774***
Australia–New Zealand	−0.218186	−4.131359***	−7.719430***	−14.73735***
Australia–Sweden	−1.987129	−4.893552***	−6.255319***	−14.92583***
New Zealand–Sweden	−1.390497	−5.578336***	−6.600979***	−14.78302***

	Money supply differential		Output differential
UK–Canada	0.726967	−11.16236***	−5.745060***	−13.50751***
UK–Australia	−1.248922	−4.529805***	−5.538494***	−13.37257***
UK–New Zealand	−0.178168	−4.623221***	−3.617988**	−3.617988**
UK–Sweden	−1.576314	−6.571804***	−5.576428***	−13.86241***
Canada–Australia	0.680567	−14.49548***	−3.454509**	−14.72166***
Canada–New Zealand	−3.002544	−15.50797***	−4.728182***	−13.73744***
Canada–Sweden	−1.040547	−13.08886***	−5.921135***	−14.70774***
Australia–New Zealand	−0.218186	−4.131359***	−7.719430***	−14.73735***
Australia–Sweden	−1.987129	−4.893552***	−6.255319***	−14.92583***
New Zealand–Sweden	−1.390497	−5.578336***	−6.600979***	−14.78302***

	Market-based inflation expectations differential		Survey-based inflation expectations differential
UK–Canada	−2.093259**	−24.39729***	−3.007652***	−18.85474***
UK–Australia	−2.102593**	−24.18133***	−2.773300***	−21.39735***
UK–New Zealand	−2.102116**	−24.28768***	−2.866010***	−23.71241***
UK–Sweden	−2.078134**	−24.53556***	−2.717170***	−17.82799***
Canada–Australia	−3.759669**	−11.45993***	−6.102653***	−13.07812***
Canada–New Zealand	−3.741017**	−8.341847***	−5.371546***	−24.24426***
Canada–Sweden	−3.547323**	−18.69621***	−5.801584***	−14.46930***
Australia–New Zealand	−4.135290***	−18.07779***	−5.967459***	−14.55439***
Australia–Sweden	−2.705271***	−21.04204***	−6.845524***	−14.19519***
New Zealand–Sweden	−2.112474**	−19.96549***	−5.669287***	−13.44838***

	Market-based inflation expectations differential		Survey-based inflation expectations differential
UK–Canada	−2.093259**	−24.39729***	−3.007652***	−18.85474***
UK–Australia	−2.102593**	−24.18133***	−2.773300***	−21.39735***
UK–New Zealand	−2.102116**	−24.28768***	−2.866010***	−23.71241***
UK–Sweden	−2.078134**	−24.53556***	−2.717170***	−17.82799***
Canada–Australia	−3.759669**	−11.45993***	−6.102653***	−13.07812***
Canada–New Zealand	−3.741017**	−8.341847***	−5.371546***	−24.24426***
Canada–Sweden	−3.547323**	−18.69621***	−5.801584***	−14.46930***
Australia–New Zealand	−4.135290***	−18.07779***	−5.967459***	−14.55439***
Australia–Sweden	−2.705271***	−21.04204***	−6.845524***	−14.19519***
New Zealand–Sweden	−2.112474**	−19.96549***	−5.669287***	−13.44838***

Note(s): DF-GLS test hypothesis: $H_{0} : s e r i e s c o n t a i n s a u n i t r o o t$ ⁠; $H_{1} : s e r i e s i s s t a t i o n a r y$ ⁠; Case II: constant and linear trend

*** significant at 1% level; ** significant at 5% level; * significant at 10% level

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