RDP 2020-08: Start Spreading the News: News Sentiment and Economic Activity in Australia Appendix C: Granger-causality Tests

Kim Nguyen and Gianni La Cava

December 2020

Table C1: Granger-causality Results
Marginal significance level (p value)
Equation variable Excluded variable Lags Marginal significance level
Weekly
ANZ-Roy Morgan Consumer Sentiment Index NSI 4 0.00
ANZ-Roy Morgan Consumer Sentiment Index NUI 4 0.00
Monthly
Change in unemployment rate NSI 2 0.00
NAB Capital Expenditure Index NSI 2 0.00
NAB Business Conditions Index NSI 2 0.01
Change in unemployment rate NUI 2 0.03
NAB Capital Expenditure Index NUI 2 0.00
NAB Business Conditions Index NUI 2 0.00