Table 3 Nonlinear causality test results...

Table 3

Nonlinear causality test results (model with model II)

	Discretionary period								Rules-based period
	Low regime		High regime		Low regime		High regime		Low regime		High regime		Low regime		High regime
Lag	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.
	ΔLEPU to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEPU				ΔLEPU to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEPU
Const1	0.11	0.91	0.16	0.87	0.18	0.86	0.42	0.67	−1.08	0.28	0.93	0.36	−0.81	0.42	0.58	0.56
DX11	−0.70	0.49	−1.12	0.27	1.75	0.08	−1.16	0.25	−0.40	0.69	0.48	0.63	0.00	1.00	−2.33	0.02
DX12	−0.90	0.37	0.14	0.89	−2.84	0.01	−1.24	0.22	2.06	0.04	−0.95	0.35	−1.93	0.06	−1.71	0.09
DX13	–	–	–	–	–	–	–	–	−0.20	0.84	−0.95	0.35	−0.33	0.74	−0.53	0.60
DX14	–	–	–	–	–	–	–	–	1.18	0.24	0.23	0.82	−0.22	0.82	−0.26	0.80
DX15	–	–	–	–	–	–	–	–	0.32	0.75	0.77	0.44	−0.58	0.57	0.18	0.86
DY21	0.49	0.63	1.69	0.10	0.00	1.00	0.38	0.71	−0.75	0.45	1.13	0.26	−1.04	0.30	−0.43	0.67
DY22	−0.36	0.72	0.26	0.79	0.54	0.59	−0.91	0.37	0.23	0.82	−0.18	0.86	0.53	0.60	0.52	0.60
DY23	–	–	–	–	–	–	–	–	−0.86	0.40	0.57	0.57	−0.64	0.53	0.55	0.58
DY24	–	–	–	–	–	–	–	–	−1.23	0.22	−3.47	0.00	0.71	0.48	−1.13	0.26
DY25	–	–	–	–	–	–	–	–	1.06	0.30	1.24	0.22	−0.39	0.70	1.38	0.17
	ΔLEMV to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEMV				ΔLEMV to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEMV
Const1	0.61	0.54	0.20	0.84	−0.18	0.85	0.80	0.43	−1.20	0.23	1.14	0.26	−1.14	0.26	2.59	0.01
DX11	−2.60	0.01	−0.87	0.39	0.00	1.00	−3.36	0.00	−1.52	0.13	1.11	0.27	−1.24	0.22	−3.97	0.00
DX12	−0.10	0.92	−0.04	0.97	−0.55	0.59	−1.23	0.22	1.16	0.25	0.30	0.77	−1.02	0.31	−2.72	0.01
DX13	–	–	–	–	–	–	–	–	−0.39	0.70	−0.88	0.38	−0.60	0.55	−0.69	0.49
DX14	–	–	–	–	–	–	–	–	0.16	0.87	0.73	0.47	−0.45	0.66	−0.46	0.65
DX15	–	–	–	–	–	–	–	–	−1.12	0.27	−0.24	0.81	−0.02	0.98	−1.02	0.31
DY21	0.67	0.50	1.68	0.10	0.32	0.75	0.34	0.74	−0.54	0.59	0.81	0.42	−1.27	0.21	−1.58	0.12
DY22	1.04	0.30	0.24	0.81	0.55	0.58	−0.58	0.57	0.09	0.93	−0.01	0.99	−0.08	0.93	0.83	0.41
DY23	–	–	–	–	–	–	–	–	−0.39	0.70	0.80	0.42	−1.13	0.26	0.68	0.50
DY24	–	–	–	–	–	–	–	–	−1.31	0.19	−3.95	0.00	−0.51	0.62	−1.75	0.09
DY25	–	–	–	–	–	–	–	–	1.81	0.08	0.65	0.52	−0.55	0.59	1.21	0.23
	ΔNFCI to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔNFCI				ΔNFCI to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔNFCI
Const1	−2.40	0.02	0.23	0.82	2.06	0.04	1.02	0.31	−1.21	0.23	1.42	0.16	−0.28	0.78	0.55	0.59
DX11	−2.92	0.00	−0.82	0.42	1.56	0.12	2.98	0.00	0.05	0.96	1.33	0.19	0.86	0.40	−1.40	0.17
DX12	−0.01	0.99	−0.07	0.95	0.10	0.92	−0.16	0.88	−1.54	0.13	0.40	0.69	−1.27	0.21	0.89	0.38
DX13	–	–	–	–	–	–	–	–	−2.30	0.03	−1.20	0.24	−0.58	0.56	0.36	0.72
DX14	–	–	–	–	–	–	–	–	−1.84	0.07	0.71	0.48	−1.01	0.32	0.61	0.54
DX15	–	–	–	–	–	–	–	–	−0.31	0.76	−0.74	0.46	0.13	0.89	0.18	0.86
DY21	−2.56	0.01	1.51	0.14	2.50	0.02	0.96	0.34	−1.37	0.18	0.26	0.80	−0.24	0.82	0.73	0.47
DY22	2.18	0.03	0.32	0.75	−0.38	0.71	−0.55	0.58	0.51	0.61	−0.33	0.74	0.52	0.60	−1.41	0.16
DY23	–	–	–	–	–	–	–	–	0.61	0.55	1.15	0.25	−0.24	0.81	0.86	0.40
DY24	–	–	–	–	–	–	–	–	−1.29	0.20	−3.71	0.00	−0.07	0.95	−3.17	0.00
DY25	–	–	–	–	–	–	–	–	−0.16	0.88	0.77	0.44	−0.75	0.46	1.28	0.21

	Discretionary period								Rules-based period
	Low regime		High regime		Low regime		High regime		Low regime		High regime		Low regime		High regime
Lag	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.	t value	Prob.
	ΔLEPU to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEPU				ΔLEPU to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEPU
Const1	0.11	0.91	0.16	0.87	0.18	0.86	0.42	0.67	−1.08	0.28	0.93	0.36	−0.81	0.42	0.58	0.56
DX11	−0.70	0.49	−1.12	0.27	1.75	0.08	−1.16	0.25	−0.40	0.69	0.48	0.63	0.00	1.00	−2.33	0.02
DX12	−0.90	0.37	0.14	0.89	−2.84	0.01	−1.24	0.22	2.06	0.04	−0.95	0.35	−1.93	0.06	−1.71	0.09
DX13	–	–	–	–	–	–	–	–	−0.20	0.84	−0.95	0.35	−0.33	0.74	−0.53	0.60
DX14	–	–	–	–	–	–	–	–	1.18	0.24	0.23	0.82	−0.22	0.82	−0.26	0.80
DX15	–	–	–	–	–	–	–	–	0.32	0.75	0.77	0.44	−0.58	0.57	0.18	0.86
DY21	0.49	0.63	1.69	0.10	0.00	1.00	0.38	0.71	−0.75	0.45	1.13	0.26	−1.04	0.30	−0.43	0.67
DY22	−0.36	0.72	0.26	0.79	0.54	0.59	−0.91	0.37	0.23	0.82	−0.18	0.86	0.53	0.60	0.52	0.60
DY23	–	–	–	–	–	–	–	–	−0.86	0.40	0.57	0.57	−0.64	0.53	0.55	0.58
DY24	–	–	–	–	–	–	–	–	−1.23	0.22	−3.47	0.00	0.71	0.48	−1.13	0.26
DY25	–	–	–	–	–	–	–	–	1.06	0.30	1.24	0.22	−0.39	0.70	1.38	0.17
	ΔLEMV to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEMV				ΔLEMV to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔLEMV
Const1	0.61	0.54	0.20	0.84	−0.18	0.85	0.80	0.43	−1.20	0.23	1.14	0.26	−1.14	0.26	2.59	0.01
DX11	−2.60	0.01	−0.87	0.39	0.00	1.00	−3.36	0.00	−1.52	0.13	1.11	0.27	−1.24	0.22	−3.97	0.00
DX12	−0.10	0.92	−0.04	0.97	−0.55	0.59	−1.23	0.22	1.16	0.25	0.30	0.77	−1.02	0.31	−2.72	0.01
DX13	–	–	–	–	–	–	–	–	−0.39	0.70	−0.88	0.38	−0.60	0.55	−0.69	0.49
DX14	–	–	–	–	–	–	–	–	0.16	0.87	0.73	0.47	−0.45	0.66	−0.46	0.65
DX15	–	–	–	–	–	–	–	–	−1.12	0.27	−0.24	0.81	−0.02	0.98	−1.02	0.31
DY21	0.67	0.50	1.68	0.10	0.32	0.75	0.34	0.74	−0.54	0.59	0.81	0.42	−1.27	0.21	−1.58	0.12
DY22	1.04	0.30	0.24	0.81	0.55	0.58	−0.58	0.57	0.09	0.93	−0.01	0.99	−0.08	0.93	0.83	0.41
DY23	–	–	–	–	–	–	–	–	−0.39	0.70	0.80	0.42	−1.13	0.26	0.68	0.50
DY24	–	–	–	–	–	–	–	–	−1.31	0.19	−3.95	0.00	−0.51	0.62	−1.75	0.09
DY25	–	–	–	–	–	–	–	–	1.81	0.08	0.65	0.52	−0.55	0.59	1.21	0.23
	ΔNFCI to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔNFCI				ΔNFCI to ${Δ D e v i a t i o n}_{C H}$				${Δ D e v i a t i o n}_{C H}$ to ΔNFCI
Const1	−2.40	0.02	0.23	0.82	2.06	0.04	1.02	0.31	−1.21	0.23	1.42	0.16	−0.28	0.78	0.55	0.59
DX11	−2.92	0.00	−0.82	0.42	1.56	0.12	2.98	0.00	0.05	0.96	1.33	0.19	0.86	0.40	−1.40	0.17
DX12	−0.01	0.99	−0.07	0.95	0.10	0.92	−0.16	0.88	−1.54	0.13	0.40	0.69	−1.27	0.21	0.89	0.38
DX13	–	–	–	–	–	–	–	–	−2.30	0.03	−1.20	0.24	−0.58	0.56	0.36	0.72
DX14	–	–	–	–	–	–	–	–	−1.84	0.07	0.71	0.48	−1.01	0.32	0.61	0.54
DX15	–	–	–	–	–	–	–	–	−0.31	0.76	−0.74	0.46	0.13	0.89	0.18	0.86
DY21	−2.56	0.01	1.51	0.14	2.50	0.02	0.96	0.34	−1.37	0.18	0.26	0.80	−0.24	0.82	0.73	0.47
DY22	2.18	0.03	0.32	0.75	−0.38	0.71	−0.55	0.58	0.51	0.61	−0.33	0.74	0.52	0.60	−1.41	0.16
DY23	–	–	–	–	–	–	–	–	0.61	0.55	1.15	0.25	−0.24	0.81	0.86	0.40
DY24	–	–	–	–	–	–	–	–	−1.29	0.20	−3.71	0.00	−0.07	0.95	−3.17	0.00
DY25	–	–	–	–	–	–	–	–	−0.16	0.88	0.77	0.44	−0.75	0.46	1.28	0.21

Note(s): L = Logarithm, Δ = first difference

Source(s): Author’s own calculation

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