Granger causality test

VAR Granger Causality/Block Exogeneity Wald Tests

Date: 05/09/17 Time: 17:18
Sample: 1960Q1 2017Q1
Included observations: 227

Dependent variable: UNEMPLOYMENT

Excluded Chi-sq df Prob.

INTEREST_R
ATE 3.874459 2 0.1441
INFLATION 0.949779 2 0.6220

All 10.47805 4 0.0331

Dependent variable: INTEREST_RATE

Excluded Chi-sq df Prob.

UNEMPLOYM
ENT 23.75250 2 0.0000
INFLATION 16.60199 2 0.0002

All 33.20299 4 0.0000

Dependent variable: INFLATION

Excluded Chi-sq df Prob.

UNEMPLOYM
ENT 5.253952 2 0.0723
INTEREST_R
ATE 3.107347 2 0.2115

All 14.97375 4 0.0048

Variance Decomposition

Varian
ce
Decom
positio
n of
UNEM
PLOY
MENT:
UNEMPLOY INTEREST_
Period S.E. MENT RATE INFLATION

1 0.232934 100.0000 0.000000 0.000000

2 0.439888 99.88952 4.94E-06 0.110473
3 0.625191 99.79058 0.029140 0.180285
4 0.780615 99.60771 0.137454 0.254840
5 0.905292 99.29728 0.356674 0.346048
6 1.002033 98.82379 0.707591 0.468623
7 1.075187 98.16059 1.202419 0.636987
8 1.129513 97.28942 1.843781 0.866795
9 1.169545 96.20247 2.623558 1.173971
10 1.199273 94.90432 3.522524 1.573154
 11 1.221996 93.41279 4.511547 2.075660
12 1.240293 91.75793 5.554467 2.687604

Varian
ce
Decom
positio
n of
INTER
EST_R
ATE:
UNEMPLOY INTEREST_
Period S.E. MENT RATE INFLATION

1 0.823293 12.79535 87.20465 0.000000

2 1.252995 23.45934 76.52381 0.016846
3 1.601871 31.55855 67.71945 0.722000
4 1.901079 37.35624 60.83925 1.804512
5 2.158439 41.30791 55.50480 3.187286
6 2.378842 43.91034 51.35237 4.737289
7 2.566843 45.53889 48.07546 6.385649
8 2.726842 46.47211 45.45065 8.077236
9 2.862978 46.91270 43.31663 9.770678
10 2.978976 47.00937 41.55768 11.43295
11 3.078081 46.87169 40.09008 13.03823
12 3.163046 46.58041 38.85256 14.56703

Varian
ce
Decom
positio
n of
INFLA
TION:
UNEMPLOY INTEREST_
Period S.E. MENT RATE INFLATION

1 0.980579 0.029873 1.270545 98.69958

2 1.185588 2.074140 3.072469 94.85339
3 1.379806 4.496316 3.674695 91.82899
4 1.533745 7.111294 4.055053 88.83365
5 1.665073 9.465977 4.232462 86.30156
6 1.776087 11.47050 4.303790 84.22571
7 1.870057 13.09878 4.308828 82.59240
8 1.949226 14.38365 4.276082 81.34026
9 2.015650 15.37407 4.222856 80.40308
10 2.071148 16.12265 4.160244 79.71711
11 2.117349 16.67814 4.095147 79.22671
12 2.155693 17.08282 4.031766 78.88541

Chole
sky
Orderi
ng:
UNEM
PLOY
MENT
INTER
EST_R
ATE
INFLA
TION

Impulse response function

 Response to Cholesky One S.D. Innovations
Res pons e of UNEMPLOY MENT to UNEMPLOY MENT Res pons e of UNEMPLOY MENT to INTEREST_RA TE Res pons e of UNEMPLOY MENT to INFLA TION
.5 .5 .5

.4 .4 .4

.3 .3 .3

.2 .2 .2

.1 .1 .1

.0 .0 .0
1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12

Res pons e of INTEREST_RA TE to UNEMPLOY MENT Res pons e of INTEREST_RA TE to INTEREST_RA TE Res pons e of INTEREST_RA TE to INFLA TION
.8 .8 .8

.4 .4 .4

.0 .0 .0

-.4 -.4 -.4

-.8 -.8 -.8

1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12

Res pons e of INFLA TION to UNEMPLOY MENT Res pons e of INFLA TION to INTEREST_RA TE Response of INFLA TION to INFLA TION
1.2 1.2 1.2

0.8 0.8 0.8

0.4 0.4 0.4

0.0 0.0 0.0

-0.4 -0.4 -0.4

1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 11 12