Titre
Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
Type
article
Institution
Externe
Périodique
Auteur(s)
Bruneau, C.
Auteure/Auteur
Jondeau, E.
Auteure/Auteur
Liens vers les personnes
ISSN
0305-9049
Statut éditorial
Publié
Date de publication
1999
Volume
61
Numéro
4
Première page
545
Dernière page/numéro d’article
568
Peer-reviewed
Oui
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.
PID Serval
serval:BIB_95E32984F8E6
Date de création
2007-11-19T09:41:00.603Z
Date de création dans IRIS
2025-05-21T02:17:50Z