Page 40 - 陳慧光

表 6: PCE vs. PPI 及其細項之 Granger 因果關係檢定表

l = 1 l = 3 l = 6 l = 12
組別 H 0
F-Statistic p 值 F-Statistic p 值 F-Statistic p 值 F-Statistic p 值

PPI does not Granger cause PCE 0.0434 0.8352 2.0587 0.1080 1.122 0.3524 1.50086 0.1319
13
PCE does not Granger cause PPI 18.9772 0.0000 *** 8.7886 0.0000 *** 4.5326 0.0003 *** 2.9731 0.0011 ***

Core PCE does not Granger cause Core PPI 9.1020 0.0030 *** 2.4494 0.0657 * 1.1142 0.3569 1.2941 0.2297
14
Core PPI does not Granger cause Core PCE 9.3855 0.0026 *** 2.5911 0.0548 * 1.5011 0.1817 1.6623 0.0828 *
PPI does not Granger cause Core PCE 0.5860 0.4451 2.5985 0.0543 * 1.585 0.1555 1.9459 0.0346 **
15
Core PCE does not Granger cause PPI 4.8500 0.0291 ** 2.5685 0.0564 * 1.578 0.1574 1.3536 0.1969

PCE does not Granger cause Core PPI 19.2829 0.0000 *** 5.6311 0.0011 *** 2.4419 0.0280 ** 2.2891 0.0113 **
16
Core PPI does not Granger cause PCE 19.9084 0.0000 *** 4.8272 0.0031 *** 3.7479 0.0017 *** 2.9965 0.0010 ***

PCE/Goods does not Granger cause PPI/Final demand goods 2.8516 0.0932 * 6.7418 0.0003 *** 3.8145 0.0015 *** 2.6002 0.0040 ***
17
PPI/Final demand goods does not Granger cause PCE/Goods 7.2981 0.0076 *** 3.2835 0.0225 ** 1.7872 0.1056 1.6133 0.0956 *

PCE/Durable goods does not Granger cause PPI/Final
4.5024 0.0354 ** 3.8513 0.0108 ** 3.6495 0.0021 *** 1.7842 0.0573 *
demand goods
18
PPI/Final demand goods does not Granger cause
19.6378 0.0000 *** 0.7181 0.5426 1.6669 0.1331 3.6433 0.0001 ***
PCE/Durable goods

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