Table 2.
Likelihood Ratio Tests of Significant Relationship between Real Variables and Market Indeces. Full sample period.
(chi-square statistics, with optimal number of lags in parentheses)
Period

93:1 to 99:6

Czech Republic
Slovak Republic
Contem-poraneous Lags Only
Contem-poraneous
Lags Only
M1 2.25(1) 0.22(1) 6.55(1)** 1.06(1)
M2 0.3(1) 0.17(1) 13.18(1)*** 6.97(1)***
Exports 1.76(1) 0.62(1) 0.12(1) 1.93(1)
Imports 3.01(1)* 0.03(1) 0.42(1) 0.40(1)
Trade Balance 2.17(1) 2.07(1) 0.60(1) 0(1)
For. Cap.Inflow 3.65(1)* 4.25 (4) 0.25(1) 1.13(1)
Budget Deficit 0.09(1) 2.49 (1) 1.62(1) 1.01(1)
Gov. Debt 0.41(1) 1.13(1) 1.35(1) 0.92(1)
Price Level (CPI) 1.67(1) 7.12 (3) 2.02(1) 6.55(1)**
Price Level (PPI) 0.54(1) 0.14(1) 0.70(1) 4.95(1)**
Exch.Rate (US$) 0.52(1) 1.01(1) 0.44(1) 0.17(1)
Ind. Production 0.48(1) 3.31 (2) 53.80(1)*** 60.83(3)***
Period

93:1 to 99:6

Hungary
Poland
Contem-poraneous Lags Only
Contem-poraneous
Lags Only
M1 19.79(1)*** 70.65(5)*** 36.65(1)** 114.54(5)***
M2 129.43(1)*** 183.10(5)*** 2.24(1) 90.96(5)***
Exports 0.54(1) 70.45(5)*** 1.18(1) 85.98(5)***
Imports 0.33(1) 69.40(5)*** 0.25(1) 86.97(5)***
Trade Balance 0.01(1) 69.17(5)*** 1.55(1) 90.98(5)***
For. Cap.Inflow 13.35(1)*** 83.82(5)*** 18.69(1)*** 110.62(5)***
Budget Deficit 0(1) 71.61(5)*** 3.05(1)* 86.80(5)***
Gov. Debt 13.20(1)*** 85.19(5)*** 20.84(1)*** 106.98(5)***
Price Level (CPI) 2.84(1)* 74.88(5)*** 1.62(1) 99.11(5)***
Price Level (PPI) 2.68(1) 70.84(5)*** 1.80(1) 88.84(5)***
Exch.Rate (US$) 0.66(1) 66.81(5)*** 0.08(1) 75.39(5)***
Ind. Production 0.44(1) 69.30(5)*** 0.99(1) 89.63(5)***