Table 4.
Asymmetric causality test
| Hypothesis | Fisher statistic | P-value | Decision |
|---|---|---|---|
| WPU+ ≠ > TA+ | 1.896 | 0.388 | WPU+ ≠ > TA+ |
| WPU+ ≠ > TA− | 9.537* | 0.008 | WPU+ → TA− |
| WPU− ≠ > TA− | 0.446 | 0.800 | WPU− ≠ > TA− |
| WPU− ≠ > TA+ | 0.989 | 0.610 | WPU− ≠ > TA+ |
| TA+ ≠ > WPU+ | 0.669 | 0.716 | TA+ ≠ > WPU+ |
| TA+ ≠ > WPU− | 0.483 | 0.785 | TA+ ≠ > WPU− |
| TA− ≠ > WPU− | 1.619 | 0.445 | TA− ≠ > WPU− |
| TA− ≠ > WPU+ | 0.717 | 0.699 | TA− ≠ > WPU+ |
| INF+ ≠ > TA+ | 0.122 | 0.941 | INF+ ≠ > TA+ |
| INF+ ≠ > TA− | 0.429 | 0.807 | INF+ ≠ > TA− |
| INF− ≠ > TA− | 3.746 | 0.154 | INF− ≠ > TA− |
| INF− ≠ > TA+ | 3.472 | 0.176 | INF− ≠ > TA+ |
| TA+ ≠ > INF+ | 0.485 | 0.785 | TA+ ≠ > INF+ |
| TA+ ≠ > INF− | 5.086*** | 0.079 | TA+ → INF− |
| TA− ≠ > INF− | 1.675 | 0.433 | TA− ≠ > INF− |
| TA− ≠ > INF+ | 1.200 | 0.549 | TA− ≠ > INF+ |
| IP+ ≠ > TA+ | 3.217 | 0.200 | IP+ ≠ > TA+ |
| IP+ ≠ > TA− | 0.341 | 0.843 | IP+ ≠ > TA− |
| IP− ≠ > TA− | 0.079 | 0.961 | IP− ≠ > TA− |
| IP− ≠ > TA+ | 5.265*** | 0.072 | IP− → TA+ |
| TA+ ≠ > IP+ | 1.574 | 0.455 | TA+ ≠ > IP+ |
| TA+ ≠ > IP− | 0.757 | 0.685 | TA+ ≠ > IP− |
| TA− ≠ > IP− | 0.508 | 0.776 | TA− ≠ > IP− |
| TA− ≠ > IP+ | 3.187 | 0.168 | TA−− ≠ > IP+ |
| CCI+ ≠ > TA+ | 0.375 | 0.829 | CCI+ ≠ > TA+ |
| CCI+ ≠ > TA− | 10.244*** | 0.006 | CCI+ → TA− |
| CCI− ≠ > TA− | 1.382 | 0.501 | CCI− ≠ > TA− |
| CCI− ≠ > TA+ | 2.092 | 0.351 | CCI− ≠ > TA+ |
| TA+ ≠ > CCI+ | 0.371 | 0.831 | TA+ ≠ > CCI+ |
| TA+ ≠ > CCI− | 0.991 | 0.609 | TA+ ≠ > CCI− |
| TA− ≠ > CCI− | 8.254*** | 0.016 | TA− → CCI− |
| TA− ≠ > CCI+ | 1.431 | 0.489 | TA− ≠ > CCI+ |
The symbols “ ≠ > and → ” denote the non-Granger causality and unidirectional Granger causality relationship for the selected variables
**,***Indicate the 0.05 and 0.10 significance level. The optimal lag is selected as 3 by using Hatemi-J Criterion (HJC)