Table 3 Results of panel... | Emerald Publishing

Table 3

Results of panel Granger-causality estimations from Model 2

	Independent variables and error-correction terms (ECTs)
Dependent variable	ZSC as proxy for BSI					CRE as proxy for BSI				LIQ as proxy for BSI
Dependent variable	$Δ {GRW}_{t - j}$	$Δ {BSI}_{t - j}$	$Δ {BPI}_{t - j}$	ECT	$Δ {GRW}_{t - j}$		$Δ {BSI}_{t - j}$	$Δ {BPI}_{t - j}$	ECT	$Δ {GRW}_{t - j}$	$Δ {BSI}_{t - j}$	$Δ {BPI}_{t - j}$	ECT
ROE as proxy for BPI
∆GRW	–	−0.668	0.083**	−0.900***	–		0.044	0.079***	−0.984***	–	−0.069**	0.071***	−0.840***
∆BSI	−0.123	–	0.018	−0.038	−0.547		–	0.218	−0.043***	1.252	–	0.103	−0.307***
∆BPI	0.690	4.841*	–	−0.567***	0.104		0.975**	–	−0.768***	−0.814	0.467	–	−0.347**
ROA as proxy for BPI
∆GRW	–	0.206	0.140	−0.843***	–		0.017	0.874***	−0.855***	–	−0.088**	0.820**	−0.813***
∆BSI	−0.117*	–	0.810***	−0.028	−0.209		–	3.610	−0.072***	0.670	–	−1.700	−0.233*
∆BPI	0.124	0.142	–	−0.588***	0.164		0.014	–	−0.467***	0.156	0.012	–	−0.457***
NIM as proxy for BPI
∆GRW	–	−0.675	0.668	−0.875***	–		0.000	1.245***	−0.830***	–	−0.044	1.435**	−0.706***
∆BSI	−0.019	–	0.659**	−0.268***	−0.607		–	2.660	−0.039*	1.148	–	−0.890	−0.326***
∆BPI	−0.016	0.141	–	−0.618***	0.013		0.029**	–	−0.531***	−0.016	0.014	–	−0.634***
PROFIT as proxy for BPI
∆GRW	–	0.081	0.356	−0.843***	–		−0.008	0.977***	−0.974***	–	−0.079*	0.910***	−0.917***
∆BSI	0.067*	–	0.424	−0.269***	−0.890***		–	6.745	−0.041**	0.943	–	−1.843	−0.254**
∆BPI	0.062	0.191*	–	−0.577***	−0.012		0.054	–	−0.604***	0.032	0.016	–	−0.557***

	Independent variables and error-correction terms (ECTs)
Dependent variable	ZSC as proxy for BSI					CRE as proxy for BSI				LIQ as proxy for BSI
Dependent variable	$Δ {GRW}_{t - j}$	$Δ {BSI}_{t - j}$	$Δ {BPI}_{t - j}$	ECT	$Δ {GRW}_{t - j}$		$Δ {BSI}_{t - j}$	$Δ {BPI}_{t - j}$	ECT	$Δ {GRW}_{t - j}$	$Δ {BSI}_{t - j}$	$Δ {BPI}_{t - j}$	ECT
ROE as proxy for BPI
∆GRW	–	−0.668	0.083**	−0.900***	–		0.044	0.079***	−0.984***	–	−0.069**	0.071***	−0.840***
∆BSI	−0.123	–	0.018	−0.038	−0.547		–	0.218	−0.043***	1.252	–	0.103	−0.307***
∆BPI	0.690	4.841*	–	−0.567***	0.104		0.975**	–	−0.768***	−0.814	0.467	–	−0.347**
ROA as proxy for BPI
∆GRW	–	0.206	0.140	−0.843***	–		0.017	0.874***	−0.855***	–	−0.088**	0.820**	−0.813***
∆BSI	−0.117*	–	0.810***	−0.028	−0.209		–	3.610	−0.072***	0.670	–	−1.700	−0.233*
∆BPI	0.124	0.142	–	−0.588***	0.164		0.014	–	−0.467***	0.156	0.012	–	−0.457***
NIM as proxy for BPI
∆GRW	–	−0.675	0.668	−0.875***	–		0.000	1.245***	−0.830***	–	−0.044	1.435**	−0.706***
∆BSI	−0.019	–	0.659**	−0.268***	−0.607		–	2.660	−0.039*	1.148	–	−0.890	−0.326***
∆BPI	−0.016	0.141	–	−0.618***	0.013		0.029**	–	−0.531***	−0.016	0.014	–	−0.634***
PROFIT as proxy for BPI
∆GRW	–	0.081	0.356	−0.843***	–		−0.008	0.977***	−0.974***	–	−0.079*	0.910***	−0.917***
∆BSI	0.067*	–	0.424	−0.269***	−0.890***		–	6.745	−0.041**	0.943	–	−1.843	−0.254**
∆BPI	0.062	0.191*	–	−0.577***	−0.012		0.054	–	−0.604***	0.032	0.016	–	−0.557***

Note(s) 1: The estimated coefficients of $Δ {GRW}_{t - j}, Δ {BSI}_{t - j}, Δ {BPI}_{t - j}$ are equivalent to the parameters $δ_{i j}^{'}$ in Model 2, presenting short-run Granger-causality, while those of ECTs corresponds to the parameter $\emptyset_{i}$ ⁠, implying long-run Granger-causality. 2: ***, ** and * corresponding to 1, 5 and 10% significance levels, respectively

Source(s): Author's calculation

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