Table 8 VEC Granger causality/block... | Emerald Publishing

Table 8

VEC Granger causality/block exogeneity Wald tests – WMP prices

Dependent variable: ΔEU_WMP			Dependent variable: ΔOCEANIA_WMP
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔOCEANIA_WMP	1.073	0.300	ΔEU_WMP	5.169	0.023**
ΔUS_WMP	0.058	0.810	ΔUS_WMP	2.829	0.093*
ΔGDT_WMP_CP2	6.31	0.012**	ΔGDT_WMP_CP2	15.643	0.000***
All	16.547	0.001***	All	23.213	0.000***

Dependent variable: ΔEU_WMP			Dependent variable: ΔOCEANIA_WMP
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔOCEANIA_WMP	1.073	0.300	ΔEU_WMP	5.169	0.023**
ΔUS_WMP	0.058	0.810	ΔUS_WMP	2.829	0.093*
ΔGDT_WMP_CP2	6.31	0.012**	ΔGDT_WMP_CP2	15.643	0.000***
All	16.547	0.001***	All	23.213	0.000***

Dependent variable: ΔUS_WMP			Dependent variable: ΔGDT_WMP_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔEU_WMP	5.858	0.016**	ΔEU_WMP	3.207	0.073*
ΔOCEANIA_WMP	4.022	0.045**	ΔOCEANIA_WMP	1.066	0.302
ΔGDT_WMP_CP2	0.411	0.521	ΔUS WMP	1.461	0.227
All	18.229	0.000***	All	6.562	0.087*

Dependent variable: ΔUS_WMP			Dependent variable: ΔGDT_WMP_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔEU_WMP	5.858	0.016**	ΔEU_WMP	3.207	0.073*
ΔOCEANIA_WMP	4.022	0.045**	ΔOCEANIA_WMP	1.066	0.302
ΔGDT_WMP_CP2	0.411	0.521	ΔUS WMP	1.461	0.227
All	18.229	0.000***	All	6.562	0.087*

Note(s): ***, ** and * denote significance level of 1%, 5% and 10%, respectively

Source(s): Own calculations