Date: 12/21/14 Time: 16:22

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

Included observations: 897 after adjustments

Trend assumption: Linear deterministic trend

Series: BRENT USD_ZAR USD_SAR D(USD_RUB) D(USD_JPY) D(USD_CHF) 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^*

0.369649

1502.813

125.6154

1.0000

At most 1^*

0.320385

1088.867

95.75366

0.0001

At most 2^*

0.320105

742.4192

69.81889

0.0001

At most 3^*

0.307898

396.3412

47.85613

0.0001

At most 4^*

0.057232

66.22534

29.79707

0.0000

At most 5

0.014063

13.36032

15.49471

0.1022

At most 6

0.000732

0.656455

3.841466

0.4178

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized

Max-Eigen

0.05

No. of CE(s)

Eigenvalue

Statistic

Critical Value

Prob.^**

None^*

0.369649

413.9461

46.23142

0.0001

At most 1^*

0.320385

346.4474

40.07757

0.0001

At most 2^*

0.320105

346.0780

33.87687

0.0001

At most 3^*

0.307898

330.1158

27.58434

0.0001

At most 4^*

0.057232

52.86502

21.13162

0.0000

At most 5

0.014063

12.70386

14.26460

0.0869

At most 6

0.000732

0.656455

3.841466

0.4178