6. Does Loan Granger cause Deposit Data source: quarterly basis since 2 nd quarter of 1987. Total loans and total deposits aggregated from Fed Data Flow of Funds Accounts (L109, L215, L216, L217, L222). Let’s test if Loan Granger causes Deposit . We will use Loan with a 4 quarter lag since it has the highest correlation with Deposit .
7. t Test (unpaired) (Loans cause Deposits) The Test model achieved a higher adjusted R Square of 0.41 vs the Base case model’s 0.28.
8. t Test (unpaired) (Deposits cause Loans) The Test model achieved a lower adjusted R Square of 0.45 vs the Base case model’s 0.46.
9. Loans Granger causes Deposits more than the reverse