Figure 6
The two-panel figure plots Breitung-Candelon Spectral Granger-causality tests. Panel (A) is titled “Breitung-Candelon Spectral Granger-causality Test: N R E tends to E W”. The vertical axis ranges from 5 to 20 with an interval of 5, and the horizontal axis is labeled “frequency,” spanning from 0 to 3 with an interval of 1. A blue curve labeled “Test Statistic” begins at (0, 16.4), rises at (0.8, 17.6), then declines steadily to (3.14, 9.5). Two horizontal lines are plotted: one dark red, labeled “5 percent C. V.,” at marking 6, and one green, labeled “10 percent C. V.,” at marking 4.7 on the vertical axis. The blue curve exceeds both horizontal lines for most frequencies, especially below frequency 2. Panel (B) is titled “Breitung-Candelon Spectral Granger-causality Test: E W tends to N R E”. The vertical axis ranges from 0 to 6 with an interval of 2. The horizontal axis is the same as in panel (A). The blue test statistic curve starts at (0, 1), drops slightly to (0.7, 0.47), and then rises gradually to approach (3.14, 1.4). The red “5 percent C. V.” line is at 6, and the green “10 percent C. V.” line is near 4.65. The blue curve remains below both critical value lines for all frequencies. Both panels include a legend for “Test Statistic,” “5 percent C. V.,” and “10 percent C. V.” at the bottom left of each plot. Note: All the numerical data values are approximated.(a), (b) Spectral causality between NRE and EW. Source(s): Authors’ computation