||||||**Tab**|**le 8:**|**Corre**|**latio**|**n Coe**|**fficie**|**nts M**|**atrix**|**(198**|**0-200**|**2)**|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
||**AR**|**BR**|**COM**|**IN**|**IND**|**KE**|**KO**|**MA**|**ME**|**PH**|**CE**|**TH**|**TU**|**UR**|**VE**|**(A)**|**(B)**|**(C)**|**(D)**|**(E**|**)**<br>**(F)**|
|**LIQ-SOL**||||**(-)||**(-)||||**||||**||4|27%|2|13%||2 13%|
|**LIQ-BOP**|**|**(-)|**||*(-)|||*||**||**||**||8|53%|6|40%||2 13%|
|**LIQ-CUR**|*|**|**|**(-)|**||**|**|**|**||*||**||11|73%|10|67%||1<br>7%|
|**LIQ-DEB**|**||**||**||**|**||**|**(-)|**||||8|53%|7|47%||1<br>7%|
|**LIQ-GRO**|**||**|*(-)||*(-)||**||**||**||**||8|53%|6|40%||2 13%|
|**LIQ-FIN**|**|||||n.a||**|**|**(-)||||n.a||4|31%|3|23%||1<br>8%|
|**SOL-BOP**||**||||*(-)|||||||*|*||4|27%|3|20%||1<br>7%|
|**SOL-CUR**|**(-)|**(-)||**|||**|||*||**|*|||7|47%|5|33%||2 13%|
|**SOL-DEB**||||**(-)||*(-)|**|**(-)|**(-)|*|||||**|7|47%|3|20%||4 27%|
|**SOL-GRO**|||**(-)|**|**|||*(-)|**||**|||**(-)|**(-)|8|53%|4|27%||4 27%|
|**SOL-FIN**||*(-)|**|||n.a||**(-)|**|**(-)|**|||n.a||6|46%|3|23%||3 23%|
|**BOP-CUR**||**(-)||||*(-)|**||*|*|||**|**||7|47%|5|33%||2 13%|
|**BOP-DEB**|||**||||**|||||**|||**|4|27%|4|27%||0<br>0%|
|**BOP-GRO**|**||**||**||*||*||*|**||**||8|53%|8|53%||0<br>0%|
|**BOP-FIN**|**|||||n.a||**(-)||*||*|**|n.a||5|38%|4|31%||1<br>8%|
|**CUR-DEB**||*|||**|*|**||**|**||*||||7|47%|7|47%||0<br>0%|
|**CUR-GRO**|||**|*|**|**|**|**|*|**||**|**|||10|67%|10|67%||0<br>0%|
|**CUR-FIN**||||||n.a||**|**|||**|*|n.a||4|31%|4|31%||0<br>0%|
|**DEB-GRO**||*(-)|**||||**|**|*|**|**|**||**||9|60%|8|53%||1<br>7%|
|**DEB-FIN**|||**(-)|*(-)||n.a|||||**(-)|||n.a||3|23%|0|0%||3 23%|
|**GRO-FIN**|**||**(-)|||n.a|||**|*||**|**|n.a||6|46%|5|38%||1<br>8%|
|**No. of**<br>**significant (A)**|9|8|12|8|7|7|10|12|12|15|6|13|7|9|3|138|46%|-|-|-|-|
|**(%) of total**<br>**samples (B)**|43%|38%|57%|38%|33%|47%|48%|57%|57%|71%|29%|62%|33%|60%|14%|46%|-|-|-|-|-|
|<br>**No. of positive**<br>**significant(C)**|8|3|9|3|6|2|10|8|11|13|4|13|7|8|2|-|-|10|7 35%|-|-|
|**(%) of total**<br>**samples (D)**|38%|14%|43%|14%|29%|13%|48%|38%|52%|62%|19%|62%|33%|53%|10%|-|-|35%|-|-|-|
|<br>**No. of negative**<br>**significant(E)**|1|5|3|5|1|5|0|4|1|2|2|0|0|1|1|-|-|-|-|31|10%|
|**(%) of total**<br>**samples(F)**|5%|24%|14%|24%|5%|33%|0%|19%|5%|10%|10%|0%|0%|7%|5%|-|-|-|-|10|%<br>-|

_Note: (*) and (**) indicate statistical significance at a level of 5 percent and 1 percent, (-) denotes the relation is negatively significant n.a. denotes data are not available Country: AR-Argentina, BR-Brazil, COM-Colombia, IN-India, IND-Indonesia, KE-Kenya, KO-Korea, MA-Malaysia, ME-Mexico, PH-Philippines, CE-Sri Lanka, TH-Thailand, TU-Turkey, UR-Uruguay, VE-Venezuela Crisis types: LIQ-Liquidity type banking crises, SOL-Solvency type banking crises, BOP-Balance of payments crises, CUR-Currency crises, DEB-Debt crises, GRO-Growth rate crises, FIN-Financial crises Source: Author_

# **3.3.2 Granger Causality of Five East Asian Countries**

Although the correlation coefficients are informative, causality cannot be clarified. For example, regarding the relationship between liquidity type banking crises and currency crises, which one comes first and/or whether there is any bidirectional relationship is important. The causality analysis can contribute policy recommendations on how to prevent the spread of crises. In order to develop the analysis on the relationships between crisis types, Granger causality test is carried out for the five Asian countries. The five East Asian countries show relatively closer relationships than others in the correlation coefficient analysis, and Granger causality test is expected to crystallize the crisis transmission mechanisms of the Asian crisis.

The order of integration of variables should be examined first, since non-stationary variables cause spurious regressions (Matuura and McKenzie (2001, p.243). The Augmented Dickey-Fuller test (ADF) is used for this purpose. ADF test procedures follow (i) to implement both with intercept and, trend and intercept, (ii) to select the lag period based on the minimum AIC (Akaike’s Minimum Information Criteria), and (iii) to start from the level and proceed to the first difference if null-hypothesis is not rejected in the level (Matuura and McKenzie, 2001, p.241). If the null-hypothesis that a time series is non-stationary is accepted 20