Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates

C. Bruneau and Eric Jondeau

Working papers from Banque de France

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 knwoledge 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.

Keywords: Cointegration; Forecasts; Interest Rate (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Pages: 24 pages
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates (1999)
Working Paper: Long-run causality, with an application to international links between long-term interest rates (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:53

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