Table 9 Frequency-domain causality test...

Table 9

Frequency-domain causality test

Direction of causality	Long-term $ω_{i} = 0.05$	Medium-term $ω_{i} = 1.50$	Short-term $ω_{i} = 2.50$
NRE ⇒ EW	16.1890	11.7788	9.4481
NRE ⇒ EW	(0.0003)***	(0.002)***	(0.009)***
GI ⇔ EW	30.9392	9.333	5.0937
GI ⇔ EW	(0.000)***	(0.009)***	(0.078)*
INS ⇒ EW	5.5169	4.4837	7.036
INS ⇒ EW	(0.0634)*	(0.1063)	(0.03)**

Direction of causality	Long-term $ω_{i} = 0.05$	Medium-term $ω_{i} = 1.50$	Short-term $ω_{i} = 2.50$
NRE ⇒ EW	16.1890	11.7788	9.4481
NRE ⇒ EW	(0.0003)***	(0.002)***	(0.009)***
GI ⇔ EW	30.9392	9.333	5.0937
GI ⇔ EW	(0.000)***	(0.009)***	(0.078)*
INS ⇒ EW	5.5169	4.4837	7.036
INS ⇒ EW	(0.0634)*	(0.1063)	(0.03)**

Note(s): p-values in parentheses; ***p < 0.01, **p < 0.05, *p < 0.1 show significance at 1%, 5 and 10% respectively

Source(s): Authors’ computation

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