Table 10 VEC Granger causality/block... | Emerald Publishing

Table 10

VEC Granger causality/block exogeneity Wald tests – SMP prices

Dependent variable: ΔEU_SMP			Dependent variable: ΔOCEANIA_SMP
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔOceania SMP	1.965	0.161	ΔEU_SMP	3.96	0.047**
ΔUS_SMP	22.751	0.000***	ΔUS_SMP	10.242	0.001***
ΔGDT_SMP_CP2	2.068	0.150	ΔGDT_SMP_CP2	4.032	0.045**
All	32.101	0.000***	All	30.836	0.000***

Dependent variable: ΔEU_SMP			Dependent variable: ΔOCEANIA_SMP
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔOceania SMP	1.965	0.161	ΔEU_SMP	3.96	0.047**
ΔUS_SMP	22.751	0.000***	ΔUS_SMP	10.242	0.001***
ΔGDT_SMP_CP2	2.068	0.150	ΔGDT_SMP_CP2	4.032	0.045**
All	32.101	0.000***	All	30.836	0.000***

Dependent variable: ΔUS_SMP			Dependent variable: ΔGDT_SMP_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔEU_SMP	1.136	0.287	ΔEU_SMP	2.838	0.092*
ΔOCEANIA_SMP	0.008	0.930	ΔOCEANIA_SMP	0.329	0.566
ΔGDT_SMP_CP2	0.002	0.968	ΔUS_SMP	13.9	0.000***
All	1.472	0.689	All	28.373	0.000***

Dependent variable: ΔUS_SMP			Dependent variable: ΔGDT_SMP_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔEU_SMP	1.136	0.287	ΔEU_SMP	2.838	0.092*
ΔOCEANIA_SMP	0.008	0.930	ΔOCEANIA_SMP	0.329	0.566
ΔGDT_SMP_CP2	0.002	0.968	ΔUS_SMP	13.9	0.000***
All	1.472	0.689	All	28.373	0.000***

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

Source(s): Own calculations