Level

First Differences

Currency

Intercept

LAG

Intercept & Trend

LAG

Intercept

LAG

Intercept & Trend

LAG

EURO

−2.3816

1

−2.4079

1

−37.3551*

0

−10.92158*

15

GBP

−1.3743

12

−2.3051

12

−10.6374*

11

−10.80607*

11

USD

−0.8640

4

−1.7783

4

−12.08791*

3

−12.08343*

3

JPY

−0.7595

10

−1.2844

10

−10.27241*

8

−10.32014*

8

(Author’s Computation)