Figure 7
The two-panel figure plots Breitung-Candelon Spectral Granger-causality tests. Panel (A) is titled “Breitung-Candelon Spectral Granger-causality Test: G I tends to E W”. The vertical axis ranges from 0 to 30 with an interval of 10, and the horizontal axis is labeled “frequency,” spanning from 0 to 3 with an interval of 1. A blue curve labeled “Test Statistic” starts at (0, 31), drops rapidly to (0.7, 0), rises to (1.7, 12), falls to (2.05, 0), then climbs, and ends at (3.14, 9.5). Two horizontal lines are plotted: one dark red, labeled “5 percent C. V.,” at marking 6.4, and one green, labeled “10 percent C. V.,” at marking 5 on the vertical axis. Panel (B) is titled “Breitung-Candelon Spectral Granger-causality Test: E W tends to G I”. The vertical axis ranges from 0 to 8 with an interval of 2. The horizontal axis is the same as in panel (A). The blue test statistic starts at (0, 4.8), dips to (0.66, 1.9), rises to (0.83, 6.2), decreases to (2, 0), then rises and ends at (3.14, 7.15). The red “5 percent C. V.” line is at 6, and the green “10 percent C. V.” line is near 4.65. 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 GI and EW. Source(s): Authors’ computation