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Financial Innovation

Table 2 Results of the bounds test of cointegration and Ect− 1 term from short-run dynamics

From: The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Estimated model

FLnEQ(LnEQ/LnINT)

FLnINT(LnINT/LnEQ)

Optimal Lag Length (AIC)

(3,3)

(3,3)

F-Statistics (Bounds Test)

8.649**

11.098*

Critical Values

1 Percent

2.5 Percent

5 Percent

10 Percent

Lower Bounds I(0)

8.74

7.46

6.56

5.59

Upper Bounds I (1)

9.63

8.27

7.3

6.26

Ect −1

−0.08991*

−0.06478*

R2

0.991

0.990

Adj. R2

0.991

0.989

DW

1.92

1.86

F-Statistics

2374.07*

2056.28*

  1. Note: *and **represents the significance level at 1% and 5%, respectively. The optimal lag length for the ARDL model was chosen on the basis of AIC. The critical values mentioned in the above table were obtained from Pesaran et al. (Pesaran et al., 2001). Both ARDL models run with the case 5 (unrestricted constant and unrestricted trend) and dummy variables added for the global crises (the year 2008, month 8)
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