Pre-crisis group

Null Hypothesis:

F-Statistic

Prob.

y t does not Granger Cause i t **

7.202

0.001

π t does not Granger Cause y t

1.660

0.196

π t does not Granger Cause i t

3.735

0.028

i t does not Granger Cause i t

3.876

0.024

u t does not Granger Cause i t

21.110

0.000

i t does not Granger Cause u t

5.413

0.006

π t does not Granger Cause u t

0.164

0.849

u t does not Granger Cause π t

0.444

0.643

u t does not Granger Cause y t

0.299

0.742

y t does not Granger Cause u t **

3.587

0.032

u t does not Granger Cause π t

2.496

0.088

π t does not Granger Cause u t

4.263

0.017

Post-crisis group

Null Hypothesis:

F-Statistic

Prob.

y t does not Granger Cause i t

1.745

0.190

i t does not Granger Cause y t

0.273

0.763

π t does not Granger Cause i t

0.997

0.379

i t does not Granger Cause π t

0.225

0.800

u t does not Granger Cause i t

3.647

0.036

i t does not Granger Cause u t

0.892

0.419

π t does not Granger Cause u t

0.355

0.704

y t does not Granger Cause π t

1.060

0.357

u t does not Granger Cause y t

2.223

0.123

y t does not Granger Cause u t *

2.853

0.071

π t does not Granger Cause π t

1.429

0.253

π t does not Granger Cause u t

2.034

0.146