Asset

Effects of own shock and shocks of the other assets

Test statistic with p-value

Stock

$H_0:{\gamma }_{11}={\lambda }_{12}={\gamma }_{13}=0$ $H_1:{\gamma }_{11}\ne {\lambda }_{12}\ne {\gamma }_{13}\ne 0$

${\chi }^2=61.6435\left(0.000\right)$

Bond

$H_0:{\gamma }_{21}={\lambda }_{22}={\gamma }_{23}=0$ $H_1:{\gamma }_{21}\ne {\lambda }_{22}\ne {\gamma }_{23}\ne 0$

${\chi }^2=16.734\left(0.000\right)$

Tbill

$H_0:{\gamma }_{31}={\lambda }_{32}={\gamma }_{33}=0$ $H_1:{\gamma }_{31}\ne {\lambda }_{32}\ne {\gamma }_{33}\ne 0$

${\chi }^2=2.651\left(0.449\right)$