Table 3 Granger causality of the base...

Table 3

Granger causality of the base model

Emerging economies		Advanced economies
Equation/excluded	Chi square	Equation/excluded	Chi square
GDP		GDP
CPI	7.897^***	CPI	27.156^***
FSI	2.597^**	FSI	9.606^***
Todas	7.985^***	Todas	44.868^***
CPI		CPI
GDP	31.430^***	GDP	11.101^***
FSI	1.447	FSI	0.004
Todas	33.368^***	Todas	12.380^***
FSI		FSI
GDP	2.837^**	GDP	1.504
CPI	12.602^***	CPI	24.960^***
Todas	13.189^***	Todas	33.402^***

Emerging economies		Advanced economies
Equation/excluded	Chi square	Equation/excluded	Chi square
GDP		GDP
CPI	7.897^***	CPI	27.156^***
FSI	2.597^**	FSI	9.606^***
Todas	7.985^***	Todas	44.868^***
CPI		CPI
GDP	31.430^***	GDP	11.101^***
FSI	1.447	FSI	0.004
Todas	33.368^***	Todas	12.380^***
FSI		FSI
GDP	2.837^**	GDP	1.504
CPI	12.602^***	CPI	24.960^***
Todas	13.189^***	Todas	33.402^***

Note(s): These results are based on a three-variable PVAR model (1). Values are Wald's chi-square statistics. ^***, ^** and ^* denote the significance level at 1, 5 and 10%, respectively

Source(s): Own elaboration

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