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dc.contributor.authorChristopoulos, Dimitrisen_US
dc.contributor.authorLeón-Ledesma, Miguel A.en_US
dc.date.accessioned2011-10-21T16:53:03Z-
dc.date.available2011-10-21T16:53:03Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/50598-
dc.description.abstractThis note revisits the temporal causality between exchange rates and fundamentals put forward by Engel and West (2005). We analyze the causal link within multivariate VARs by making use of the concept of multi-step causality. Our results show that, considering information content beyond one-period ahead, the causal link between exchange rates and fundamentals is stronger than previously reported. We find Granger-causality running from exchange rates to fundamentals at some horizon in 49% of our tests and running from fundamentals to exchange rates in 59% of them.en_US
dc.language.isoengen_US
dc.publisherUniv. of Kent, School of Economics Canterburyen_US
dc.relation.ispartofseriesSchool of Economics discussion papers 09,09en_US
dc.subject.jelF31en_US
dc.subject.jelF37en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordGranger-causalityen_US
dc.subject.keywordmulti-stepen_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordfundamentalsen_US
dc.subject.stwWechselkursen_US
dc.subject.stwMakroökonomiken_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwKausalanalyseen_US
dc.subject.stwIndustriestaatenen_US
dc.titleOn causal relationships between exchange rates and fundamentals: Better than you thinken_US
dc.typeWorking Paperen_US
dc.identifier.ppn608637130en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:School of Economics Discussion Papers, University of Kent

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