Help with Johansen Cointegration test interpretation

[rolandarzabe]

[size=150]I'm researching about the money demand function for my country (quarterly data). I'm modeling the money demand (M'1) explained by GDP (PIB), Interest rate (TI), Foreing interest rate (TE), LIBOR rate (LIBOR) and Exchange rate (TC). The first two LN_M1 and LN_GDP are expressed in logarithms. I found that all the variables are stationary in first differences I(1) except for the Exchange rate that is stationary in 2nd differences I(2) (ADF and PP tests were applied) . Also I according VAR model the lags recommended are 5.

I run Johansen cointegration test with the first 5 variables as endogenous and the exchange rate (TC) as exogenous. My issue is that the results are quite strange or I might missing something. The results show 1 cointegration vector. Here are the results but...








My question is where is my long -run term would be 5.0893 ?? This not seems right. It suppoused that this should be the "Income Elasticity", and should be near 1. I'm interpreting this right or I need to run a VECM in order to find the long and short relationship?

Thanks in advance .