Table 6

Granger causality of the extended model

Emerging economiesAdvanced economies
Equation/excludedChi squareEquation/excludedChi square
GDPGDP
CPI1.330CPI37.909***
House prices0.330House prices6.522***
Interest rate95.835***Interest rate174.682***
FSI0.124FSI2.941*
Todas99.839***Todas204.775***
CPICPI
GDP8.553***GDP3.533*
House prices1.635House prices1.298
Interest rate214.924***Interest rate142.185***
FSI2.374FSI7.126***
Todas347.583***Todas204.190***
House pricesHouse prices
GDP28.093***GDP0.439
CPI13.565***CPI2.398
Interest rate89.166***Interest rate1.342
FSI4.900***FSI20.627***
Todas97.854***Todas57.831***
Interest rateInterest rate
GDP4.678**GDP20.687***
CPI9.640***CPI5.604**
House prices3.548*House prices12.723***
FSI4.046***FSI2.197
Todas30.298***Todas58.864***
FSIFSI
GDP3.505*GDP1.151
CPI10.633***CPI46.887***
House prices7.893***House prices11.631***
Interest rate5.421***Interest rate11.756***
Todas24.535***Todas106.115***

Note(s): These results are based on a 5-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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