English, Article, Journal or magazine article edition: Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates Bruneau, C.; Jondeau, E.

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Bookmark: http://trove.nla.gov.au/version/147941
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates
Author
  • Bruneau, C.
  • Jondeau, E.
Physical Description
  • preprint
Notes
  • 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 knwoledge 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.
  • Cointegration ; Forecasts ; Interest Rate
  • RePEc:bfr:banfra:53
Language
  • English
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