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Financial Innovation

Table 4 Causality tests

From: Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

Direction of causality

MWALT

Prob

Toda–Yamamoto causality

API → EPI

17.127

0.000***

EPI → API

1.204

0.547

IPI → EPI

8.215

0.016**

EPI → IPI

3.467

0.176

MPI → EPI

8.891

0.031**

EPI → MPI

2.744

0.432

 

F-stat

Prob

Gradual shift causality

API → EPI

17.303

0.000***

EPI → API

1.331

0.513

IPI → EPI

8.451

0.014**

EPI → IPI

3.558

0.168

MPI → EPI

9.292

0.025**

EPI → MPI

2.882

0.410

  1.  → indicates the direction of causality. The optimal lag is selected using AIC
  2. ***, **, and * denote statistically significant at 1%, 5%, and 10% levels, respectively
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