Maximum lag in VAR model | Granger causality | Pearson correlation | Spearman’ rank correlation | ||||
---|---|---|---|---|---|---|---|
(A) raw p-value < 0.05 | (B) FDR < 0.05 | (C) raw p-value < 0.05 | (D) FDR < 0.05 | (E) raw p-value < 0.05 | (F) FDR < 0.05 | ||
AU | 4 | 21 | 16 | 24 | 20 | 35 | 34 |
6 | 21 | 16 | 24 | 20 | 35 | 34 | |
8 | 21 | 16 | 24 | 20 | 35 | 34 | |
CA | 4 | 25 | 20 | 29 | 25 | 37 | 37 |
6 | 28 | 24 | 29 | 25 | 37 | 37 | |
8 | 28 | 24 | 29 | 25 | 37 | 37 | |
GB | 4 | 22 | 18 | 39 | 38 | 42 | 42 |
6 | 16 | 8 | 39 | 38 | 42 | 42 | |
8 | 20 | 10 | 39 | 38 | 42 | 42 | |
IE | 4 | 17 | 10 | 23 | 18 | 26 | 25 |
6 | 19 | 15 | 23 | 18 | 26 | 25 | |
8 | 20 | 15 | 23 | 18 | 26 | 25 | |
IN | 4 | 4 | 1 | 49 | 49 | 53 | 53 |
6 | 4 | 1 | 49 | 49 | 53 | 53 | |
8 | 5 | 1 | 49 | 49 | 53 | 53 | |
JP | 4 | 10 | 5 | 33 | 33 | 44 | 44 |
6 | 12 | 5 | 33 | 33 | 44 | 44 | |
8 | 14 | 5 | 33 | 33 | 44 | 44 | |
SG | 4 | 10 | 5 | 21 | 18 | 24 | 24 |
6 | 11 | 7 | 21 | 18 | 24 | 24 | |
8 | 11 | 6 | 21 | 18 | 24 | 24 | |
US | 4 | 29 | 26 | 38 | 34 | 41 | 40 |
6 | 27 | 27 | 38 | 34 | 41 | 40 | |
8 | 28 | 25 | 38 | 34 | 41 | 40 | |
ZA | 4 | 7 | 3 | 33 | 31 | 37 | 36 |
6 | 11 | 3 | 33 | 31 | 37 | 36 | |
8 | 12 | 4 | 33 | 31 | 37 | 36 |