Table 2

Granger causality test

Null hypothesisF-statistic
UK does not Granger Cause USA4.702**
USA does not Granger Cause UK25.488***
SWITZERLAND does not Granger Cause USA1.443
USA does not Granger Cause SWITZERLAND1.746**
SPAIN does not Granger Cause USA1.022
USA does not Granger Cause SPAIN4.096**
PORTUGAL does not Granger Cause USA4.532**
USA does not Granger Cause PORTUGAL9.604***
POLAND does not Granger Cause USA3.740**
USA does not Granger Cause POLAND1.585
NETHERLAND does not Granger Cause USA3.1368*
USA does not Granger Cause NETHERLAND22.052***
FRANCE does not Granger Cause USA1.983
USA does not Granger Cause FRANCE19.357***
GERMANY does not Granger Cause USA2.2044
USA does not Granger Cause GERMANY19.350***
BELGIUM does not Granger Cause USA18.670***
USA does not Granger Cause BELGIUM26.537***
AUSTRIA does not Granger Cause USA5.335***
USA does not Granger Cause AUSTRIA5.981***

Note(s): Lags: 3, Pairwise Granger Causality Test

*,**,***: statistically significant at 10%, 5% and 1%, respectively

Source(s): Estimated by authors
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