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Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Department of Economics Discussion Paper No. 09,09
Verlag: 
University of Kent, Department of Economics, Canterbury
Zusammenfassung: 
This 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.
Schlagwörter: 
Granger-causality
multi-step
exchange rates
fundamentals
JEL: 
F31
F37
C32
Dokumentart: 
Working Paper

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