Figure 8
The two-panel figure plots Breitung-Candelon Spectral Granger-causality tests. Panel (A) is titled “Breitung-Candelon Spectral Granger-causality Test: I N S tends to E W”. The vertical axis ranges from 0 to 8 with an interval of 2, 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, 5.6), dips to (0.5, 0.25), rises to (2.5, 7.1), then drops toward (3.14, 2.9). 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 4.3 on the vertical axis. Panel (B) is titled “Breitung-Candelon Spectral Granger-causality Test: E W tends to I N S”. 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 remains below 0.35 through most frequencies, peaks at 0.8 near 2.7, and stays well below both horizontal lines. The red “5 percent C. V.” line is near 6, and the green “10 percent C. V.” line is near 4.6. 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 INS and EW. Source(s): Authors’ computation