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Financial Innovation

Table 7 Results of asymmetric 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

Countries/null hypotheses

H0: SPI ↛ IPI

H0: IPI ↛ SPI

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

Austria

1.648

1.336

1.099

10.963*

0.983

0.593

Finland

2.457***

1.354

0.779

4.629**

0.777

0.809

France

0.617

1.395

1.002

2.929***

0.345

0.260

Germany

1.284

1.747

0.986

10.167*

1.755

1.224

Ireland

21.005*

27.300*

27.628*

2.564***

2.496***

2.516***

Italy

0.742

0.952

0.455

15.023*

2.388***

1.864

Japan

0.469

0.555

1.082

4.441**

1.844

1.619

Korea Republic

6.721*

5.446*

4.398**

2.940***

3.364**

3.460**

Netherlands

0.702

1.027

0.908

7.997*

1.421

1.117

Sweden

0.292

0.510

0.301

0.836

0.059

0.110

United Kingdom

0.486

0.331

0.121

3.169**

0.891

0.753

United States

5.346*

0.220

0.029

8.976*

11.318*

11.673*

Countries/null hypotheses

H0: SPI− ↛ IPI−

H0: IPI− ↛ SPI−

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

Austria

0.933

0.932

0.932

0.134

0.186

0.188

Finland

0.559

0.517

0.511

0.392

0.388

0.388

France

0.420

0.455

0.462

1.848

1.343

1.300

Germany

1.453

1.365

1.362

3.259**

4.173**

4.227**

Ireland

33.591*

20.942*

19.918*

0.033

0.529

0.589

Italy

0.342

0.286

0.285

0.351

0.226

0.214

Japan

1.377

1.076

1.085

1.635

2.340***

2.410***

Korea Republic

14.104*

9.935*

9.572*

0.678

1.744

1.837

Netherlands

0.473

0.490

0.491

2.229

2.321***

2.316***

Sweden

1.044

1.140

1.149

1.672

2.965***

2.955***

United Kingdom

0.867

0.999

1.015

6.029*

5.355*

5.293*

United States

1.655

1.707

1.717

4.419**

3.673**

3.607**

Countries/null hypotheses

H0: SPI+ ↛ IPI+

H0: IPI+ ↛ SPI+

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

\(\omega\) = 0.5

\(\omega\) = 1.5

\(\omega\) = 2.5

Austria

3.652**

4.368**

4.437**

3.749**

3.643**

3.640**

Finland

2.248

2.500***

2.508***

0.520

0.520

0.519

France

1.494

0.625

0.567

0.922

0.772

0.775

Germany

2.089

3.077**

3.101**

2.009

2.000

1.999

Ireland

7.714*

6.102*

6.128*

0.552

0.320

0.323

Italy

0.159

0.145

0.138

0.375

0.375

0.375

Japan

2.756***

3.023**

3.034**

1.560

1.548

1.548

Korea Republic

4.292**

8.518*

8.890*

1.946

1.407

1.388

Netherlands

0.569

0.593

0.589

0.480

0.487

0.487

Sweden

2.522***

1.561

1.443

1.411

1.288

1.291

United Kingdom

2.166

1.547

1.497

1.266

1.199

1.203

United States

0.862

0.488

0.469

1.224

1.168

1.175

  1. *, **, ***The significance at the 1, 5, and 10% levels, respectively. Critical values are 2.315, 3.016, 4.654 at the 10%, 5%, 1% levels, respectively
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