Causalité persistante entre séries non-stationnaire: application à l'étude comparée des politiques monétaires des pays du G5

Catherine Bruneau and Jean-Paul Nicolai

Annals of Economics and Statistics, 1995, issue 40, 177-206

Abstract: This paper investigates the notion of persistent causality in multivariate first difference stationary autoregressive systems. The causality concept is based on impulse responses as suggested by Sims [1980]. Non-persistent causality is characterized as non-correlation between the canonical innovation of the causal variable and the trend part of the caused variable, as defined from a standard Beveridge-Nelson decomposition. Non-persistent causality simply corresponds to the nullity of a well identified long run multiplier. We show that persistent causality properties may lead to a causal interpretation of a cointegration relation, because non-causality excludes any prediction improvement at an infinite horizon. Testing non-persistent causality requires an auxiliary parametrization of the dynamics, which is provided by a suitable cointegrated VAR model, according to a two-steps procedure. This methodology is applied to analyse the efficiency of the monetary policies in the G5 countries.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1995:i:40:p:177-206

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