Evaluation of Hot Money Drivers in China: A Structural VAR Approach

Table 4

Granger causality test.

Null hypothesis	F statistics	P value
HM does not Granger cause p	6.210	0.013
p does not Granger cause HM	3.451	0.063
HM does not Granger cause Y	9.594	0.002
Y does not Granger cause HM	7.421	0.006
HM does not Granger cause DAR	0.160	0.689
DAR does not Granger cause HM	0.988	0.320
HM does not Granger cause EER	0.577	0.448
EER does not Granger cause HM	0.824	0.364