Series

Sub-sample 1: Jan/2003 to Sep/2008

Sub-sample 2: Oct/2008 to May/2016

Level

p-value

Order of integration

Level

p-value

Order of integration

Selic

−0.011894

0.003

I(0)—no drift

−0.23001

0.000526

I(1)—no drift

GDP

−1.0981

8.49E−01

I(1)—drift

−0.65764

7.937E−01

I(1)—no drift

ER

−1.07007

1.44E−01

I(1)—drift

−0.85469

2.797E−02

I(1)—no drift

IPCA

−0.435184

1.59E−01

I(0)—drift

−0.33984

0.000836

I(0)—drift

EI

0.629357

9.44E−01

I(0)—drift and trend

−0.25109

0.007482

I(0)—drift

FC

−1.29605

1.93E−05

I(2)—no drift

−0.988043

8.112E−01

I(1)—drift and trend

DC

−0.558406

0.0001

I(1)—drift

−0.557242

2.282E−01

I(1)—drift and trend

SWAP

−0.095061

0.000973

I(0)—drift

−0.742944

2.462E−01

I(1)—no drift

EMBI

−0.119647

1.14E−01

I(0)—drift

−0.85501

8.152E−03

I(1)—no drift

CPI

−0.55823

1.11E−01

I(1)—no drift

−0.495458

2.958E−01

I(1)—no drift

FFR

−0.308943

0.000853

I(1)—drift

−0.315556

1.285E−07

I(0)—no drift