Dependent

Variables

Direction of causality

Short run

Long run

----

3.997^**

(0.045)

1.541

(0.214)

0.002

(0.963)

−0.703^***

(0.002)

0.388

(0.533)

----

0.220

(0.638)

0.043

(0.835)

−0.028

(0.504)

0.008

(0.925)

0.142

(0.706)

----

0.207

(0.648)

0.285^**

(0.048)

1.447

(0.228)

0.512

(0.474)

0.187

(0.665)

----

−0.020

(0.217)

Diagnostic tests

Akaike information criteria = −0.305, VEC residual serial correlation LM test = 19.680 (0.234), VEC White heteroskedasticity test = 98.359 (0.527), VEC Jarque Bera normality test = 12.719 (0.121)