| Augmented Dickey-Fuller | Phillips-Perron | |||
| Intercept and Trend | Intercept and Trend | Intercept and Trend | Intercept and Trend | |
| (Exchange Gap)2 | −1560 (1) | −2248 (1) | −1730 (1) | −1902 (1) |
| D(Exchange gap)2 | −4285*** (0) | −4198** (0) | −4196*** (0) | −4144** (0) |