Fig. 12

Time-varying Granger causality tests. Notes: The time-varying causality is obtained from a lag-augmented VAR (LA-VAR) model with d = 1. The ag orders are determined by BIC. Wald test statistics computed using recursive evolving-heteroskedasticity algorithms. Like Shi et al. (2020), the 10% and 5% bootstrapped critical values (lower- and upper-horizontal lines) are based on 199 replications