Skip to main content
Financial Innovation

Table 5 Results of panel Granger causality test in the frequency domain

From: Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain

Direction of causality

Test statistics

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

CV %10

SPI → IPI

0.000244*

0.000106

0.000101

0.000135

IPI → SPI

0.003067*

0.003555*

0.003688*

0.000814

SPI− → IPI−

0.006947*

0.004033

0.004134

0.005858

IPI− → SPI−

0.019851*

0.009812*

0.006930*

0.005538

SPI+ → IPI+

0.008334*

0.005551

0.006119*

0.005723

IPI+ → SPI+

0.011965*

0.007341*

0.009141*

0.005547

  1. *The existence of causality runs from the first variable to the second one
Back to article page