Error Correction

D (USD/INR Spot)

D (USD/INR Futures)

D (EURO/

INR Spot)

D (EURO/INR Futures)

D (GBP/INR Spot)

D (GBP/INR Futures)

D (JPY/INR Spot)

D (JPY/INR Futures)

CointEq1

−0.290589*

0.148606*

−0.642371*

0.096129

−0.579403*

0.275555

−0.825269*

0.002819

(0.05359)

(0.06371)

(0.07374)

(0.08277)

(0.08078)

(0.09384)

(0.08710)

(0.09581)

[−5.42263]

[2.33250]

[−8.71111]

[1.16135]

[−7.17249]

[2.93642]

[−9.47521]

[0.02942]

S (−1)

−0.361254

−0.127987

−0.072148

−0.017299

−0.099637

−0.016877

0.033724

0.095605

(0.05836)

(0.06938)

(0.06564)

(0.07368)

(0.06959)

(0.08084)

(0.07359)

(0.08095)

[−6.19018]

[−1.84464]

[−1.09912]

[−0.23478]

[−1.43171]

[−0.20877]

[0.45827]

[1.18101]

S (−2)

−0.010929

−0.048062

0.014924

−0.024496

0.020063

−0.031174

0.085104

0.082734

(0.04569)

(0.05432)

(0.04777)

(0.05362)

(0.04810)

(0.05588)

(0.05218)

(0.05740)

[−0.23923]

[−0.88488]

[0.31241]

[−0.45681]

[0.41707]

[−0.55786]

[1.63098]

[1.44139]

F (−1)

0.424256

0.121190

0.173161

0.056501

0.224721

0.150833

0.001107

−0.102822

(0.05622)

(0.06684)

(0.06849)

(0.07688)

(0.07087)

(0.08233)

(0.07734)

(0.08508)

[7.54674]

[1.81323]

[2.52828]

[0.73494]

[3.17077]

[1.83205]

[0.01431]

[−1.20853]

F (−2)

0.021333

−0.012403

0.001572

0.031705

0.010383

0.009428

−0.092148

−0.126963

(0.05014)

(0.05962)

(0.05427)

(0.06092)

(0.05397)

(0.06269)

(0.05840)

(0.06424)

[0.42544]

[−0.20805]

[0.02896]

[0.52044]

[0.19239]

[0.15037]

[−1.57786]

[−1.97630]

C

0.007713

0.008361

0.002404

0.002785

−0.005088

−0.005326

0.009547

0.010323

(0.00656)

(0.00780)

(0.01198)

(0.01345)

(0.01588)

(0.01844)

(0.01119)

(0.01231)

[1.17564]

[1.07195]

[0.20069]

[0.20706]

[−0.32051]

[−0.28880]

[0.85335]

[0.83879]