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Causalité de long terme et amélioration de la prévision : application aux courbes de taux d'intérêt

Listed author(s):
  • Catherine Bruneau
  • Eric Jondeau

We propose a definition and a characterization of long-run causality between non-stationary, possibly cointegrated, series. In a VAR framework, a Wald test can be performed to test for long-run non-causality, with the statistics distributed as a chi-square, conditionally on the cointegration rank. This methodology is used to study long-run causal links between the interest rates of euro-currency term structures, for different countries, between 1983 and 1996. Contrary to the implications of the expectations hypothesis, the interest rates of different maturities do not play a symmetrical role, when contributing to the common trend of the yield curve. The common trend appears to be mainly led by longest term rates, which can be used as an indicator of market participants expectations about future monetary policy.

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File URL: http://www.jstor.org/stable/20076177
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Article provided by GENES in its journal Annals Of Economics and Statistics.

Volume (Year): (1999)
Issue (Month): 54 ()
Pages: 23-45

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Handle: RePEc:adr:anecst:y:1999:i:54:p:23-45
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  16. Frederic S. Mishkin, 1990. "The Information in the Longer Maturity Term Structure about Future Inflation," The Quarterly Journal of Economics, Oxford University Press, vol. 105(3), pages 815-828.
  17. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-692, September.
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  19. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
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  21. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
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