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Financial Innovation

Table 3 Causality tests

From: Uncertainty about interest rates and crude oil prices

 

L = 1

L = 2

L = 3

L = 4

L = 5

L = 6

Panel A: oil returns versus VXTYN for January 2003 to May 2020

ΔVXTYN \({ \nrightarrow }R^{Oil}\)

4.129**

3.112**

2.513*

2.044*

1.774

1.623

\(R^{Oil} { \nrightarrow }\) ΔVXTYN

6.984***

6.717***

4.563***

3.097**

2.503**

2.147**

Panel B: OVX versus VXTYN for May 2007 to May 2020

ΔVXTYN \({ \nrightarrow }\) ΔOVX

8.159***

7.102***

6.084***

5.622***

4.517***

3.891***

ΔOVX \({ \nrightarrow }\) ΔVXTYN

1.904

1.735

0.911

0.872

0.43

0.375

  1. ΔVXTYN denotes changes in the expected 30-day volatility of the CBOT’s 10-Year Treasury futures, a proxy for uncertainty about interest rates. \(R^{Oil}\) is the WTI returns. By Y \({ \nrightarrow }\) Z we mean Y does not Granger-cause Z. “L” denotes the lag underlying the test estimation. ΔOVX denotes the rate of change in the oil volatility index. The values in the table are the F-statistics related to the Granger-causality test
  2. ***, ** and *Statistical significance at the levels 1%, 5% and 10%, respectively
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