English, Article, Journal or magazine article edition: On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think Dimitris Christopoulos; Miguel A. León-Ledesma

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Bookmark: http://trove.nla.gov.au/version/157849
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think
Author
  • Dimitris Christopoulos
  • Miguel A. León-Ledesma
Physical Description
  • preprint
Notes
  • This note revisits the temporal causality between exchange rates and fundamentals put forward by Engel and West (2005). We analyze the causal link within multivariate VARs by making use of the concept of multi-step causality. Our results show that, considering information content beyond one-period ahead, the causal link between exchange rates and fundamentals is stronger than previously reported. We find Granger-causality running from exchange rates to fundamentals at some horizon in 49% of our tests and running from fundamentals to exchange rates in 59% of them.
  • Granger-causality; multi-step; exchange rates; fundamentals
  • RePEc:ukc:ukcedp:0909
Language
  • English
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