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dc.contributor.authorChristopoulos, Dimitrisen
dc.contributor.authorLeón-Ledesma, Miguel A.en
dc.date.accessioned2011-10-21T16:53:03Z-
dc.date.available2011-10-21T16:53:03Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aUniversity of Kent, Department of Economics |cCanterburyen
dc.relation.ispartofseries|aDepartment of Economics Discussion Paper |x09,09en
dc.subject.jelF31en
dc.subject.jelF37en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordGranger-causalityen
dc.subject.keywordmulti-stepen
dc.subject.keywordexchange ratesen
dc.subject.keywordfundamentalsen
dc.subject.stwWechselkursen
dc.subject.stwMakroökonomiken
dc.subject.stwVAR-Modellen
dc.subject.stwKausalanalyseen
dc.subject.stwIndustriestaatenen
dc.titleOn causal relationships between exchange rates and fundamentals: Better than you think-
dc.typeWorking Paperen
dc.identifier.ppn608637130en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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