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Financial Innovation

Table 12 Granger Causality Test Results

From: Insurance market density and economic growth in Eurozone countries: the granger causality approach

 

Short Run Granger

Causality

Long Run Granger

Causality

Case 1.1: VECM with GDP, LID, LIL, GCE, YDP

 

∆GDP

∆LID

∆GCE

∆YDP

∆LIL

ECT−1

∆GDP

–

9.78*

10.3*

18.3*

1.83

−0.85*

∆LID

2.05

–

4.99*

3.98*

1.24

−0.11

∆GCE

12.9*

2.12

–

9.65*

1.79

−0.06

∆YDP

0.48

0.45

4.62*

–

1.79

−0.001

∆LIL

5.74*

1.80

4.82*

9.63*

–

−0.09

Case 1.2: VECM with GDP, LID, PCO, GCE, YDP

 

∆GDP

∆LID

∆GCE

∆YDP

∆PCO

ECT−1

∆GDP

–

5.69*

13.1*

14.9*

0.20

−0.85*

∆LID

2.09

–

3.71**

9.54*

5.68*

−0.09

∆GCE

17.3*

1.86

–

9.89*

0.28

−0.05

∆YDP

1.05

1.12

4.77*

–

1.37

−0.001

∆PCO

6.19*

5.69*

0.89

0.40

–

−0.11

Case 2.1: VECM with GDP, NID, LIL, GCE, YDP

 

∆GDP

∆NID

∆GCE

∆YDP

∆LIL

ECT−1

∆GDP

–

1.92

9.93*

17.4*

1.62

−0.79*

∆NID

4.50*

–

1.05

1.57

0.15

−0.18

∆GCE

15.3*

9.75*

–

6.67*

2.15

−0.06

∆YDP

0.92

10.0*

4.78*

–

2.12

−0.001

∆LIL

2.09

3.09***

3.36***

8.57*

–

−0.07

Case 2.2: VECM with GDP, NID, PCO, GCE, YDP

 

∆GDP

∆NID

∆GCE

∆YDP

∆PCO

ECT−1

∆GDP

–

1.30

12.5*

17.4*

0.47

−0.81*

∆NID

6.53*

–

0.45

6.25*

4.02*

−0.18

∆GCE

17.8*

9.73*

–

7.75*

0.18

−0.05

∆YDP

2.33

9.23*

5.02*

–

0.81

−0.002

∆PCO

2.78

17.8*

0.15

0.37

–

−0.09

Case 3.1: VECM with GDP, TID, LIL, GCE, YDP

 

∆GDP

∆TID

∆GCE

∆YDP

∆LIL

ECT−1

∆GDP

–

2.26

10.6*

20.1*

1.99

−0.83*

∆TID

3.69**

–

4.25**

2.54

0.62

−0.17

∆GCE

15.1*

6.96*

–

7.62*

2.44

−0.06

∆YDP

0.55

3.95***

4.79**

–

1.74

−0.001

∆LIL

3.61***

0.16

3.88***

9.95*

–

−0.08

Case 3.2: VECM with GDP, TID, PCO, GCE, YDP

 

∆GDP

∆TID

∆GCE

∆YDP

∆PCO

ECT−1

∆GDP

–

1.09

13.6*

18.3*

0.37

−0.84*

∆TID

6.16*

–

1.33

3.59**

5.36*

−0.17*

∆GCE

19.2*

5.83*

–

8.40*

0.11

−0.06

∆YDP

1.56

4.32**

4.75*

–

1.09

−0.001

∆PCO

3.67***

15.9*

0.28

0.11

–

−0.09

  1. Note 1: GDP is per capita economic growth, LID is life insurance density, NID is non-life insurance density, TID is total (both life and non-life) insurance density, LIL is liquidity liabilities; PCO is private credit by deposit money banks and other financial institutions, GCE is government consumption expenditure, and YDP is young dependence population.
  2. Note 2: *, **, and *** indicate statistical significance at 1%, 5%, and 10% respectively.
  3. Note 3: VECM: vector error-correction model; and ECT-1: lagged error-correction term.
  4. Note 4: The values of ECT-1 are the estimated coefficients, while the remaining values against other variables are Wald Chi-square.
  5. Note 5: The basis for determination of long-run causality lies in the significance of the lagged ECT coefficients.
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