Research Article
Interest Rate Swap Market Complexity and Its Risk Management Implications
Table 11
The results of the bivariate Granger causality test for each pair of the swap rate volatility and complexity.
| | Null hypothesis | F-stats | Lag order | value |
| | MacArthur complex. doesn’t Granger-cause HnL swap rate vol. | 0.128 | 3 | 0.943 | | HnL swap rate vol. does not Granger-cause MacArthur complex. | 2.452 | 3 | 0.062 | | MacArthur complex. doesn’t Granger-cause GnK swap rate vol. | 0.198 | 3 | 0.898 | | GnK swap rate vol. does not Granger-cause MacArthur complex. | 2.389 | 3 | 0.068 | | AMI complexity does not Granger-cause HnL swap rate vol. | 0.298 | 3 | 0.827 | | HnL swap rate vol. does not Granger-cause AIM complexity | 0.914 | 3 | 0.434 | | AMI complexity does not Granger-cause GnK swap rate vol. | 0.366 | 3 | 0.777 | | GnK swap rate vol. does not Granger-cause AIM complexity | 0.934 | 3 | 0.424 | | HC complexity does not Granger-cause HnL swap rate vol. | 0.278 | 3 | 0.841 | | HnL swap rate vol. does not Granger-cause HC complexity | 3.215 | 3 | 0.022 | | HC complexity does not Granger-cause GnK swap rate vol. | 0.302 | 3 | 0.824 | | GnK swap rate vol. does not Granger-cause HC complexity | 3.170 | 3 | 0.023 |
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Note: significance level code: 0.01 “ ,” 0.05 “ ,” 0.1 “ .” |
