Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation

Pavlidis, Efthymios and Paya, Ivan and Peel, David (2015) Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation. Economics Letters, 132. pp. 13-17. ISSN 0165-1765

[thumbnail of causality_rxr_cons_d_FINAL]

Preview

PDF (causality_rxr_cons_d_FINAL)
causality_rxr_cons_d_FINAL.pdf - Accepted Version
Available under License Creative Commons Attribution.
Download (86kB)

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.

Item Type:

Journal Article

Journal or Publication Title:

Economics Letters

Additional Information:

This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 132, 2015 DOI: 10.1016/j.econlet.2015.04.008

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2000/2003

Subjects:

?? nonlinear granger causalityreal exchange ratesconsumptionheteroskedasticity robust testfinanceeconomics and econometrics ??

Departments:

Lancaster University Management School > Economics

ID Code:

74088

Deposited By:

ep_importer_pure

Deposited On:

18 Jun 2015 06:01

Refereed?:

Yes

Published?:

Published

Last Modified:

18 Mar 2024 00:28

URI:

https://eprints.lancs.ac.uk/id/eprint/74088