Table 14 VEC Granger causality/block... | Emerald Publishing

Table 14

VEC Granger causality/block exogeneity Wald tests – cheddar prices

Dependent variable: ΔEU_CHEDDAR			Dependent variable: ΔOCEANIA_CHEDDAR
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔOCEANIA_CHEDDAR	2.175	0.140	ΔEU_CHEDDAR	2.59	0.108
ΔUS_CHEDDAR	1.695	0.193	ΔUS_CHEDDAR	1.445	0.229
ΔGDT_CHEDDAR_CP2	0.232	0.630	ΔGDT_CHEDDAR CP2	0.079	0.779
All	4.355	0.226	All	4.462	0.216

Dependent variable: ΔEU_CHEDDAR			Dependent variable: ΔOCEANIA_CHEDDAR
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔOCEANIA_CHEDDAR	2.175	0.140	ΔEU_CHEDDAR	2.59	0.108
ΔUS_CHEDDAR	1.695	0.193	ΔUS_CHEDDAR	1.445	0.229
ΔGDT_CHEDDAR_CP2	0.232	0.630	ΔGDT_CHEDDAR CP2	0.079	0.779
All	4.355	0.226	All	4.462	0.216

Dependent variable: ΔUS_CHEDDAR			Dependent variable: ΔGDT_CHEDDAR_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔEU_CHEDDAR	0.536	0.464	ΔEU_CHEDDAR	5.169	0.023**
ΔOCEANIA_CHEDDAR	0.01	0.922	ΔOCEANIA_CHEDDAR	0	1.000
ΔGDT_CHEDDAR_CP2	0.142	0.706	ΔUS_CHEDDAR	4.571	0.033**
All	0.715	0.870	All	11.663	0.009***

Dependent variable: ΔUS_CHEDDAR			Dependent variable: ΔGDT_CHEDDAR_CP2
Excluded	Chi-sq	Prob	Excluded	Chi-sq	Prob
ΔEU_CHEDDAR	0.536	0.464	ΔEU_CHEDDAR	5.169	0.023**
ΔOCEANIA_CHEDDAR	0.01	0.922	ΔOCEANIA_CHEDDAR	0	1.000
ΔGDT_CHEDDAR_CP2	0.142	0.706	ΔUS_CHEDDAR	4.571	0.033**
All	0.715	0.870	All	11.663	0.009***

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

Source(s): Own calculations