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Global measure of causal intensity between real and financial spheres

  • Bates, Samuel

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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Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/273.

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Date of creation: Aug 2005
Date of revision:
Publication status: Published in Applied Economics, 2005, Vol. 37. pp. 1635-1642.Length: 7 pages
Handle: RePEc:dau:papers:123456789/273
Contact details of provider: Web page: http://www.dauphine.fr/en/welcome.html

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  1. Ben S. Bernanke & Alan S. Blinder, 1988. "Credit, Money, and Aggregate Demand," NBER Working Papers 2534, National Bureau of Economic Research, Inc.
  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. 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.
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