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Testing for Spurious Causality in Exchange Rates

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  • Eric Renault
  • Khalid Sekkat
  • Ariane Szafarz

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/709.

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Date of creation: 1998
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Publication status: Published in: Journal of Empirical Finance (1998) v.5 n° 1,p.47-66
Handle: RePEc:ulb:ulbeco:2013/709

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References

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  1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, Econometric Society, vol. 53(2), pages 385-407, March.
  2. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  3. Mizrach, B, 1992. "Multivariate Nearest-Neighbor Forecasts of EMS Exchange Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 7(S), pages S151-63, Suppl. De.
  4. Jong, F.C.J.M. de & Nijman, T.E., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper, Tilburg University, Center for Economic Research 1995-34, Tilburg University, Center for Economic Research.
  5. Renault, E. & Szafarz, A., 1991. "True Versus Spurious Instantaneous Causality," Papers, Universite Libre de Bruxelles - C.E.M.E. 9103, Universite Libre de Bruxelles - C.E.M.E..
  6. Paul R. Krugman, 1988. "Target Zones and Exchange Rate Dynamics," NBER Working Papers 2481, National Bureau of Economic Research, Inc.
  7. Francis X. Diebold & Javier Gardeazabal & Kamil Yilmaz, 1993. "On cointegration and exchange rate dynamics," Working Papers 93-2, Federal Reserve Bank of Philadelphia.
  8. Phillips, P. C. B., 1973. "The problem of identification in finite parameter continuous time models," Journal of Econometrics, Elsevier, Elsevier, vol. 1(4), pages 351-362, December.
  9. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, Econometric Society, vol. 37(3), pages 424-38, July.
  10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
  11. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, American Finance Association, vol. 44(1), pages 167-81, March.
  12. Robert P. Flood & Andrew K. Rose & Donald J. Mathieson, 1990. "An Empirical Exploration of Exchange Rate Target-Zones," NBER Working Papers 3543, National Bureau of Economic Research, Inc.
  13. Sapir, André & Sekkat, M. Khalid, 1993. "Exchange Rate Regimes and Trade Prices: Does the EMS Matter?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 810, C.E.P.R. Discussion Papers.
  14. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, Elsevier, vol. 39(1-2), pages 199-211.
  15. Glen, Jack D., 1992. "Real exchange rates in the short, medium, and long run," Journal of International Economics, Elsevier, Elsevier, vol. 33(1-2), pages 147-166, August.
  16. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
  17. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 17(03), pages 301-329, September.
  18. repec:fth:inseep:9633 is not listed on IDEAS
  19. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, American Economic Association, vol. 62(4), pages 540-52, September.
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Citations

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Cited by:
  1. Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance, EconWPA 0504020, EconWPA.
  2. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2003-16, Universite de Montreal, Departement de sciences economiques.
  3. McCrorie, J. Roderick & Chambers, Marcus J., 2006. "Granger causality and the sampling of economic processes," Journal of Econometrics, Elsevier, Elsevier, vol. 132(2), pages 311-336, June.
  4. Christian M. Hafner, 2004. "Temporal aggregation of multivariate GARCH processes," Econometric Society 2004 North American Winter Meetings, Econometric Society 538, Econometric Society.
  5. Judith A. Clarke & Mukesh Ralhan, 2005. "Direct and Indirect Causality Between Exports and Economic Output for Bangladesh and Sri Lanka: Horizon Matters," Econometrics Working Papers, Department of Economics, University of Victoria 0512, Department of Economics, University of Victoria.
  6. Renault, Eric & Werker, Bas J.M., 2011. "Causality effects in return volatility measures with random times," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 272-279, January.

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