Government spending, GDP and exchange rate in Zero Lower Bound: measuring causality at multiple horizons

Charles Olivier Mao Takongmo

MPRA Paper from University Library of Munich, Germany

Abstract: This paper assesses the causality between government spending and gross domestic product in the United States at multiple horizons. We compare the Granger causality for normal periods (1959Q1 to 2006 Q4) with the causality for the ZLB period (2007Q1 to 2015Q4). We show that the Granger causality measures between government spending and GDP are very high and persistent in the ZLB period, but only if the exchange rate is not taken into account. When the exchange rate is taken into account, the Granger causality between government spending and GDP becomes very small and non-persistent.

Keywords: Zero Lower Bound; Causality Measures (search for similar items in EconPapers)
JEL-codes: C01 C3 C32 E6 E62 (search for similar items in EconPapers)
Date: 2016-07-01, Revised 2017-06-02
New Economics Papers: this item is included in nep-mac and nep-pbe
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Government Spending, GDP and Exchange Rate in Zero Lower Bound: Measuring Causality at Multiple Horizons (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:79703

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