Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation

Efthymios Pavlidis, Ivan Paya () and David Peel

Economics Letters, 2015, vol. 132, issue C, 13-17

Abstract: International real business cycle models predict a relationship between real exchange rates and consumption. This prediction is not supported by the empirical literature. In a new approach, we apply nonlinear Granger-causality tests to data for 14 OECD countries.

Keywords: Nonlinear Granger causality; Real exchange rates; Consumption; Heteroskedasticity robust test (search for similar items in EconPapers)
JEL-codes: C2 F31 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:132:y:2015:i:c:p:13-17

DOI: 10.1016/j.econlet.2015.04.008

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