Since our data cover a long period of nearly 50 years, we are inclined to rely on Johansen tests although the number of data points is smaller than 100. The Gregory-Hansen test is done for Japan and Korea also just for completeness, and might be of some methodological interest since it does not show cointegration even for Japan and Korea. The reviewer’s observation has been acknowledged in note 2.
This makes the unconditional correlations uninteresting.