English, Article, Journal or magazine article edition: Granger-causality in Markov Switching Models Monica Billio; Silvestro Di Sanzo

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Bookmark: http://trove.nla.gov.au/version/203420
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Granger-causality in Markov Switching Models
Author
  • Monica Billio
  • Silvestro Di Sanzo
Physical Description
  • preprint
Notes
  • In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models by means of an appropriate specification of the transition matrix. Test for independence are also provided. We illustrate our methodology with an empirical application. In particular, we investigate the causality and interdependence between financial and economic cycles using a bivariate Markov switching model. When applied to U.S. data, we find that financial variables are useful for forecasting the direction of aggregate economic activity, and vice versa.
  • Granger Causality, Markov Chains, Switching Models
  • RePEc:ven:wpaper:2006_20
Language
  • English
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