Table C.4.
Estimated coefficients in Table C.3
| Art prices indices | |||
|---|---|---|---|
| Series | No deterministic terms | An intercept | An intercept and a linear time trend |
| Global Index (USD) | 0.93 (0.75, 1.22) | 4.610 (38.85) | --- |
| Global Index (EUR) | 0.89 (0.65, 1.25) | 4.620 (43.69) | --- |
| Painting | 0.86 (0.75, 1.02) | 4.626 (136.26) | --- |
| Sculpture | 0.65 (0.54, 0.84) | 4.645 (150.31) | --- |
| Photography | 0.34 (0.21, 0.47) | 4.771 (97.30) | 0.0059 (6.75) |
| Drawing | 0.16 (0.01, 0.40) | 4.764 (159.08) | 0.0062 (11.79) |
| 0.55 (0.42, 0.74) | 4.744 (84.72) | 0.0088 (6.89) | |
| Old Masters | -0.07 (-0.22, 0.10) | 4.870 (110.75) | -0.0072 (-8.65) |
| 19th Century | 1.32 (1.17, 1.54) | 4.754 (114.69) | -0.0027 (-3.19) |
| Modern Art | 0.43 (0.28, 0.61) | 4.654 (169.23) | --- |
| Post-War | 0.81 (0.71, 0.95) | 4.657 (68.67) | 0.0155 (4.67) |
| Contemporary | -0.05 (-0.19, 0.13) | 4.994 (126.83) | 0.0141 (19.24) |
| USA (USD) | 0.86 (0.75, 1.02) | 4.619 (136.26) | --- |
| UK (GBP) | 0.75 (0.65 0.88) | 4.638 (150.81) | 0.0052 (4.31) |
| France (EUR) | 0.80 (0.69 0.94) | 4.649 (143.95) | --- |
Values in parenthesis in column 2 are 95% confidence intervals, while in columns 3 and 4, they are t-values for the deterministic terms (constant, column 3; time trend, column 4). In red evidence of mean reversion at the 5% level.