Does Diversification Affect Banking Systemic Risk?

Table 4

Nonlinear Granger causality tests.

Embedding dimension	: does not cause	: does not cause
	DP statistic ( value)	DP statistic ( value)
1	−1.2210 (0.8889)	−1.5430 (0.9386)
2	−0.9050 (0.8172)	−0.9670 (0.8332)
3	−1.0380 (0.8503)	−0.0640 (0.5254)
4	−1.2460 (0.8936)	−0.3470 (0.6357)
5	0.0450 (0.4820)	−0.3320 (0.6300)
6	−0.3640 (0.6422)	−0.2410 (0.5952)
7	−0.5360 (0.7041)	0.3320 (0.3700)
8	−0.0580 (0.5271)	1.0420 (0.1486)

Notes: the DP statistic is generated based on Diks and Panchenko (2006) methodology.