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

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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/2000/2002
Subjects:
ID Code:
74088
Deposited By:
Deposited On:
18 Jun 2015 06:01
Refereed?:
Yes
Published?:
Published
Last Modified:
11 Jul 2020 05:16