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

Détails

ID Serval
serval:BIB_95E32984F8E6
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
Périodique
Oxford Bulletin of Economics and Statistics
Auteur(s)
Bruneau C., Jondeau E.
ISSN
0305-9049
Statut éditorial
Publié
Date de publication
1999
Peer-reviewed
Oui
Volume
61
Numéro
4
Pages
545-568
Langue
anglais
Résumé
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.
Web of science
Création de la notice
19/11/2007 11:41
Dernière modification de la notice
20/08/2019 15:58
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