Table 10 Granger causality results for...

Table 10

Granger causality results for diff-in-diff analysis

	Bank_Equity Granger causes G_Trends			Bank_Equity Granger causes G_Trends_Growth
Time intervals	1 lag	3 lags	5 lags	1 lag	3 lags	5 lags
Panel A – Equity agreements
−4 to 0	0.863	0.889	0.498	0.053	0.111	0.124
−4 to 1	0.643	0.882	0.329	0.094	0.198	0.273
−4 to 2	0.595	0.859	0.463	0.126	0.439	0.485
−4 to 3	0.635	0.839	0.509	0.148	0.533	0.318
−4 to 4	0.603	0.850	0.511	0.187	0.616	0.804

	Bank_Equity Granger causes G_Trends			Bank_Equity Granger causes G_Trends_Growth
Time intervals	1 lag	3 lags	5 lags	1 lag	3 lags	5 lags
Panel A – Equity agreements
−4 to 0	0.863	0.889	0.498	0.053	0.111	0.124
−4 to 1	0.643	0.882	0.329	0.094	0.198	0.273
−4 to 2	0.595	0.859	0.463	0.126	0.439	0.485
−4 to 3	0.635	0.839	0.509	0.148	0.533	0.318
−4 to 4	0.603	0.850	0.511	0.187	0.616	0.804

	Bank_Partner Granger causes G_Trends			Bank_Partner Granger causes G_Trends_Growth
Time intervals	1 lag	3 lags	5 lags	1 lag	3 lags	5 lags
Panel B – Contractual agreements
−4 to 0	0.517	0.866	0.826	0.244	0.510	0.661
−4 to 1	0.539	0.799	0.395	0.276	0.436	0.458
−4 to 2	0.500	0.798	0.804	0.227	0.425	0.563
−4 to 3	0.579	0.865	0.919	0.449	0.543	0.632
−4 to 4	0.573	0.863	0.929	0.508	0.663	0.740

	Bank_Partner Granger causes G_Trends			Bank_Partner Granger causes G_Trends_Growth
Time intervals	1 lag	3 lags	5 lags	1 lag	3 lags	5 lags
Panel B – Contractual agreements
−4 to 0	0.517	0.866	0.826	0.244	0.510	0.661
−4 to 1	0.539	0.799	0.395	0.276	0.436	0.458
−4 to 2	0.500	0.798	0.804	0.227	0.425	0.563
−4 to 3	0.579	0.865	0.919	0.449	0.543	0.632
−4 to 4	0.573	0.863	0.929	0.508	0.663	0.740

Note(s): Null hypothesis of “no Granger Causality” between dependent and independent variable. The table reports the p-values for Granger Causality tests with Bank_Equity (Panel A) and Bank_Partner (Panel B) for all time intervals considered in the baseline diff-in-diff analysis and considering 1, 3 and 5 lags

Source(s): Table was created by the authors

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