Table 8 Panel Granger cause test.
Null Hypothesis (H0) | Developing countries | UMIC | LMIC | LIC | HIC |
|---|---|---|---|---|---|
Test statistics | Test statistics | Test statistics | Test statistics | Test statistics | |
Z-bar (P-value) | Z-bar (P-value) | Z-bar (P-value) | Z-bar (P-value) | Z-bar (P-value) | |
PCREDIT does not Granger cause NPL | 19.88* (0.000) | 19.54* (0.000) | 12.13* (0.000) | 6.68* (0.000) | 16.56* (0.000) |
NPL does not Granger cause PCREDIT | 10.33* (0.000) | 8.38* (0.000) | 14.35* (0.000) | 3.19* (0.001) | 7.67* (0.002) |
GDP does not Granger cause NPL | 5.48* (0.000) | 5.34* (0.000) | 4.57* (0.000) | 1.23 (0.216) | 3.73* (0.000) |
NPL does not Granger cause GDP | 2.22* (0.02) | 4.34* (0.01) | 0.57 (0.56) | 2.71* (0.00) | 3.17* (0.000) |