Date: 11/09/14 Time: 12:40

Sample (adjusted): 2/28/2011 9/19/2014

Included observations: 897 after adjustments

Trend assumption: Linear deterministic trend

Series: D(USD_CHF) D(USD_JPY) D(USD_RUB) USD_SAR USD_ZAR D(WTI) D(EUR_USD)

Lags interval (in first differences): 1 to 1

Unrestricted Cointegration Rank Test (Trace)

Hypothesized

Trace

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical value

Prob.^**

None^*

0.443660

1968.632

125.6154

1.0000

At most 1

0.336424

1442.653

95.75366

1.0000

At most 2^*

0.322849

1074.783

69.81889

0.0001

At most 3^*

0.318797

725.0778

47.85613

0.0001

At most 4^*

0.306664

380.7238

29.79707

0.0001

At most 5^*

0.055902

52.20582

15.49471

0.0000

At most 6

0.000675

0.605361

3.841466

0.4365

Unrestricted cointegration rank test (maximum eigenvalue)

Hypothesized

Max-Eigen

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical value

Prob.^**

None^*

0.443660

525.9782

46.23142

0.0001

At most 1^*

0.336424

367.8700

40.07757

0.0001

At most 2^*

0.322849

349.7056

33.87687

0.0001

At most 3^*

0.318797

344.3539

27.58434

0.0001

At most 4^*

0.306664

328.5180

21.13162

0.0001

At most 5^*

0.055902

51.60046

14.26460

0.0000

At most 6

0.000675

0.605361

3.841466

0.4365