On the role of stablecoins in cryptoasset pricing dynamics

Financial Innovation

Table 3 Results of the Johansen cointegration tests

# of Cointegrated vectors	Eigenvalue	Trace test	p value	\(L_{max}\) test	p value
Cointegration with restricted trend
0	0.0167	46.9930	0.0169	32.8380	0.0033
1	0.0063	14.1550	0.6504	12.3170	0.3987
2	0.0009	1.8386	0.9644	1.8386	0.9652
Cointegration with unrestricted trend
0	0.0166	44.9150	0.0029	32.6020	0.0021
1	0.0062	12.3140	0.2916	12.1780	0.2319
2	0.0001	0.1360	0.7123	0.1360	0.7122

Both Johansen tests (Johansen 1991, 1995)—trace and maximum eigenvalue—are presented here. As the VAR representation of VECM given in Eq. 1 shows a significant time trend in the relationship, we restrict the testing to the cases of the restricted and unrestricted trend. More details are given in Hendry and Juselius (2001)