Causality in EU macroeconomic variables

Christos Agiakloglou, Michalis Gkouvakis and Aggelos Kanas

Applied Economics Letters, 2016, vol. 23, issue 4, 264-277

Abstract: This article investigates the interdependence of macroeconomics, financial and other variables for European Union countries using a multivariate vector autoregressive (VAR) approach for quarterly data. The VAR analysis is applied to all bivariate cases, and the best fitted models are selected in order to conduct Granger causality testing and impulse response functions. Contrary to the existing literature, this study reveals evidence of a unilateral direction between several cases and ambiguous results regarding Impulse response functions analysis.

Date: 2016
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DOI: 10.1080/13504851.2015.1068919

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