Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates

Details

Serval ID
serval:BIB_95E32984F8E6
Type
Article: article from journal or magazin.
Collection
Publications
Title
Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
Journal
Oxford Bulletin of Economics and Statistics
Author(s)
Bruneau C., Jondeau E.
ISSN
0305-9049
Publication state
Published
Issued date
1999
Peer-reviewed
Oui
Volume
61
Number
4
Pages
545-568
Language
english
Abstract
In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knowledge of the past of the former improves long-run predictions of the latter. In a VAR framework, we show that long-run non-causality can be easily tested with a Wald statistics, conditionally on the cointegration rank. The methodology is used to study long-run causal links between US, German, and French long-term interest rates from January 1990 to June 1997.
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Create date
19/11/2007 11:41
Last modification date
03/03/2018 19:41
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