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Global measure of causal intensity between real and financial spheres

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  • Samuel Bates

Abstract

The lack of theoretical consensus on the causality direction between real and financial spheres as well as on the macroeconomic importance of transmission channels drive to an empirical approach of the links between the two areas. The aim of this paper is to offer a method for the analysis of the causal structure between the two spheres according to the transmission channels. It becomes possible globally on short and long runs for a given country to better surround mechanisms intervening inside the feedback between real and financial areas.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/00036840500214306
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics.

Volume (Year): 37 (2005)
Issue (Month): 14 ()
Pages: 1635-1642

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Handle: RePEc:taf:applec:v:37:y:2005:i:14:p:1635-1642

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  1. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December.
  2. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  3. Ben S. Bernanke & Alan S. Blinder, 1988. "Credit, Money, and Aggregate Demand," NBER Working Papers 2534, National Bureau of Economic Research, Inc.
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Cited by:
  1. Bates, Samuel & Vaugirard, Victor, 2009. "Monetary Transmission Channels around the Subprime Crisis : The US Experience," Economics Papers from University Paris Dauphine 123456789/1483, Paris Dauphine University.

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