Decomposing Granger Causality over the Spectrum

Aurélie Lemmens, Christophe Croux and Marnik Dekimpe

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: We develop a bivariate spectral Granger-causality test that can be applied at each individual frequency of the spectrum. The spectral approach to Granger causality has the distinct advantage that it allows to disentangle (potentially) di®erent Granger- causality relationships over di®erent time horizons. We illustrate the usefulness of the proposed approach in the context of the predictive value of European production expectation surveys.

Keywords: Granger causality; business surveys; production expectations; spectral analysis (search for similar items in EconPapers)
JEL-codes: C44 C53 M M31 (search for similar items in EconPapers)
Date: 2004-12-01
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Citations: View citations in EconPapers (1)

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