Arbeitspapier
On causal relationships between exchange rates and fundamentals: Better than you think
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Department of Economics Discussion Paper ; No. 09,09
- Klassifikation
-
Wirtschaft
Foreign Exchange
International Finance Forecasting and Simulation: Models and Applications
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Granger-causality
multi-step
exchange rates
fundamentals
Wechselkurs
Makroökonomik
VAR-Modell
Kausalanalyse
Industriestaaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Christopoulos, Dimitris
León-Ledesma, Miguel A.
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Kent, Department of Economics
- (wo)
-
Canterbury
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Christopoulos, Dimitris
- León-Ledesma, Miguel A.
- University of Kent, Department of Economics
Entstanden
- 2009
Ähnliche Objekte (12)
Adding Causal Relationships to DL-based Action Formalisms
Women Know Better What Other Women Think and Feel
An Interest Rate Peg Might Be Better than You Think
Listen, think, then talk : the practical workbook for better communication
An Interest Rate Peg Might Be Better than You Think
Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
Detecting Causal Relationships in Distributed Computations: In Search of the Holy Grail1
A New Strategy to Identify Causal Relationships: Estimating a Binding Average Treatment Effect
THINK
THINK
#Think!
Think
Adding Causal Relationships to DL-based Action Formalisms
Women Know Better What Other Women Think and Feel
An Interest Rate Peg Might Be Better than You Think
Listen, think, then talk : the practical workbook for better communication
An Interest Rate Peg Might Be Better than You Think
Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
Detecting Causal Relationships in Distributed Computations: In Search of the Holy Grail1
A New Strategy to Identify Causal Relationships: Estimating a Binding Average Treatment Effect
THINK
THINK
#Think!
Think
Adding Causal Relationships to DL-based Action Formalisms
Women Know Better What Other Women Think and Feel
An Interest Rate Peg Might Be Better than You Think
Listen, think, then talk : the practical workbook for better communication
An Interest Rate Peg Might Be Better than You Think
Causal interrelations among market fundamentals: Evidence from the Europen telecommunications sector
Detecting Causal Relationships in Distributed Computations: In Search of the Holy Grail1
A New Strategy to Identify Causal Relationships: Estimating a Binding Average Treatment Effect
THINK
THINK
#Think!