Table 4 Coefficients of the cointegration matrix (β) from error correction term
Variable | β1 | β2 | ||||
|---|---|---|---|---|---|---|
Coef. | σ | t-value | Coef. | σ | t-value | |
lnpricet-1 | 1.00 | – | – | – | – | – |
lnbtct-1 | −1.74*** | 0.22 | −7.89 | −0.88*** | 0.08 | −10.44 |
lncrasht-1 | – | – | – | 1.00 | – | – |