Table 4 Granger causality tests Variable...

Table 4

Granger causality tests

Variable	EPU does not granger-cause FPI net inflows		FPI net inflows does not granger-cause EPU
Variable	Z-bar	p-value	Z-bar	p-value
EPU	−0.016	0.987	2.637***	0.008
EPUvo	−0.394	0.693	2.682***	0.007
WUI	−1.736*	0.082	−0.216	0.829
WUIvo	−2.018**	0.043	−0.900	0.367

Variable	EPU does not granger-cause FPI net inflows		FPI net inflows does not granger-cause EPU
Variable	Z-bar	p-value	Z-bar	p-value
EPU	−0.016	0.987	2.637***	0.008
EPUvo	−0.394	0.693	2.682***	0.007
WUI	−1.736*	0.082	−0.216	0.829
WUIvo	−2.018**	0.043	−0.900	0.367

Variable	EPU does not granger-cause FPI net		FPI net does not granger-cause EPU
Variable	Z-bar	p-value	Z-bar	p-value
EPU	2.837	0.004	−0.734	0.462
EPUvo	−0.188	0.850	−0.413	0.679
WUI	−0.686	0.492	1.161	0.245
WUIvo	−0.347	0.728	0.809	0.418

Variable	EPU does not granger-cause FPI net		FPI net does not granger-cause EPU
Variable	Z-bar	p-value	Z-bar	p-value
EPU	2.837	0.004	−0.734	0.462
EPUvo	−0.188	0.850	−0.413	0.679
WUI	−0.686	0.492	1.161	0.245
WUIvo	−0.347	0.728	0.809	0.418

Note(s): In Granger causality test: H0: X does not Granger-cause Y, H1: X does Granger-cause Y for at least one panelvar (country). *, **, *** are significant levels at 10, 5 and 1%, respectively

Source(s): Dumitrescu and Hurlin (2012)

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