Unit root test
| Standard unit root test | Unit root test with structural breaks | |||
|---|---|---|---|---|
| Variable | t-stat | Conclusion | t-stat | Conclusion |
| Y1 | −1.852 | Non-Stationary | −17.487*** | Stationary (1 structural break; 2018m2) |
| Y5 | −1.783 | Non-Stationary | −16.369*** | Stationary (1 structural break; 2018m2) |
| Y10 | −1.667 | Non-Stationary | −18.499*** | Stationary (1 structural break; 2018m4) |
| SLOPE | −2.921*** | Stationary | −16.516 | Stationary (1 structural break; 2010m2) |
| CURV | −4.161*** | Stationary | −20.716 | Stationary (1 structural break; 2010m2) |
| FX_C | −6.190*** | Stationary | −0.597 | Non-Stationary (No structural break) |
| GROWTH | −5.621*** | Stationary | −6.5474*** | Stationary (No structural break) |
| INF | −2.340** | Stationary | −15.666*** | Stationary (1 structural break; 2021m6) |
| CBRATE | −1.367 | Non-Stationary | −7.699*** | Stationary (1 structural break; 2018m4) |
| FIS_BAL | −0.965 | Non-Stationary | −15.218*** | Stationary (1 structural break; 2010m2) |
| GOV_DEBT | −0.909 | Non-Stationary | −47.500*** | Stationary (1 structural break; 2010m2) |
| VIXI | −2.954** | Stationary | −6.331*** | Stationary (No structural break) |
| Standard unit root test | Unit root test with structural breaks | |||
|---|---|---|---|---|
| Variable | Conclusion | Conclusion | ||
| Y1 | −1.852 | Non-Stationary | −17.487*** | Stationary (1 structural break; 2018m2) |
| Y5 | −1.783 | Non-Stationary | −16.369*** | Stationary (1 structural break; 2018m2) |
| Y10 | −1.667 | Non-Stationary | −18.499*** | Stationary (1 structural break; 2018m4) |
| SLOPE | −2.921*** | Stationary | −16.516 | Stationary (1 structural break; 2010m2) |
| CURV | −4.161*** | Stationary | −20.716 | Stationary (1 structural break; 2010m2) |
| FX_C | −6.190*** | Stationary | −0.597 | Non-Stationary (No structural break) |
| GROWTH | −5.621*** | Stationary | −6.5474*** | Stationary (No structural break) |
| INF | −2.340** | Stationary | −15.666*** | Stationary (1 structural break; 2021m6) |
| CBRATE | −1.367 | Non-Stationary | −7.699*** | Stationary (1 structural break; 2018m4) |
| FIS_BAL | −0.965 | Non-Stationary | −15.218*** | Stationary (1 structural break; 2010m2) |
| GOV_DEBT | −0.909 | Non-Stationary | −47.500*** | Stationary (1 structural break; 2010m2) |
| VIXI | −2.954** | Stationary | −6.331*** | Stationary (No structural break) |
Note(s): This table reports unit root test of variables used in the study. The significance levels at 0.01, 0.05, and 0.1 are denoted by ***, **, and *, respectively
Source(s): Authors' calculation