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

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 knowledge 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, conditionnally 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

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Year of publication:	2011
Authors:	Bruneau, Catherine
Other Persons:	Jondeau, Eric (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Kausalanalyse \| Causality analysis \| Zinsstruktur \| Yield curve \| Deutschland \| Germany \| Prognoseverfahren \| Forecasting model \| Frankreich \| France \| Zins \| Interest rate

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