Bank Lending, Inflation, and China's Stock Market (2004–2010)
Table 3
Causal relationships between the banking measures, inflation expectations, and the Shanghai A-index.
Causal Relationship
Coefficient Sum
Chi-Squared Statistic
Number of Lags
Confidence Level
Banking Business → Shanghai A
−0.023
0.937
1
66%
Shanghai A → Banking Business
0.041
5.387
1
98%
Bankers’ Confidence → Shanghai A
−0.311
6.516
1
98%
Shanghai A → Bankers’ Confidence
−0.230
0.814
1
63%
Current Price Satisfaction → Banking Business
−0.050
2.214
1
86%
Banking Business → Current Price Satisfaction
−0.239
0.026
1
13%
Future Price Expectation → Banking Business
0.149
16.815
1
99%
Banking Business → Future Price Expectation
−1.104
0.951
1
67%
Current Price Satisfaction → Banker’s Confidence
−0.644
1.880
1
83%
Banker’s Confidence → Current Price Satisfaction
0.060
0.375
1
45%
Future Price Expectation → Banker’s Confidence
0.740
1.761
1
81%
Banker’s Confidence → Future Price Expectation
−0.062
0.846
1
64%
Current Price Satisfaction → Shanghai A
0.424
1.593
1
79%
Shanghai A → Current Price Satisfaction
−0.299
6.127
1
98%
Future Price Expectation → Shanghai A
0.000
0.000
1
0%
Shanghai A → Future Price Expectation
0.117
1.588
1
79%
Note: The above statistics reflect Wald tests for Granger-causality based upon VARs estimated with one lag on each variable (all of which are in log growth rate form); relationships significant at the 90% confidence level or higher are depicted in bold print.
