Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates

Catherine Bruneau and Eric Jondeau

Oxford Bulletin of Economics and Statistics, 1999, vol. 61, issue 4, 545-568

Abstract: In this paper we give a precise definition of long‐run causality in a multivariate non‐stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long‐run if knowledge of the past of the former improves long‐run predictions of the latter. In a VAR framework, we show that long‐run non‐causality can be easily tested with a Wald statistics, conditionally on the cointegration rank. The methodology is used to study long‐run causal links between US, German, and French long‐term interest rates from January 1990 to June 1997.

Date: 1999
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https://doi.org/10.1111/1468-0084.00143

Related works:
Working Paper: Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates (1998)
Working Paper: Long-run causality, with an application to international links between long-term interest rates (1997)
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