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    Rights statement: This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 132, 2015 DOI: 10.1016/j.econlet.2015.04.008

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Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation. / Pavlidis, Efthymios; Paya, Ivan; Peel, David.
In: Economics Letters, Vol. 132, 07.2015, p. 13-17.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Pavlidis, E, Paya, I & Peel, D 2015, 'Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation', Economics Letters, vol. 132, pp. 13-17. https://doi.org/10.1016/j.econlet.2015.04.008

APA

Pavlidis, E., Paya, I., & Peel, D. (2015). Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation. Economics Letters, 132, 13-17. https://doi.org/10.1016/j.econlet.2015.04.008

Vancouver

Pavlidis E, Paya I, Peel D. Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation. Economics Letters. 2015 Jul;132:13-17. Epub 2015 Apr 18. doi: 10.1016/j.econlet.2015.04.008

Author

Pavlidis, Efthymios ; Paya, Ivan ; Peel, David. / Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation. In: Economics Letters. 2015 ; Vol. 132. pp. 13-17.

Bibtex

@article{63c7f95d10c1483c9414a217a27948ae,
title = "Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation",
abstract = "International real business cycle models predict a relationship between real exchange rates and consumption. This prediction is not supported by the empirical literature. In a new approach, we apply nonlinear Granger-causality tests to data for 14 OECD countries.",
keywords = "Nonlinear Granger causality, Real exchange rates, Consumption, Heteroskedasticity robust test",
author = "Efthymios Pavlidis and Ivan Paya and David Peel",
note = " This is the author{\textquoteright}s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 132, 2015 DOI: 10.1016/j.econlet.2015.04.008",
year = "2015",
month = jul,
doi = "10.1016/j.econlet.2015.04.008",
language = "English",
volume = "132",
pages = "13--17",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Testing for linear and nonlinear Granger Causality in the real exchange rate-consumption relation

AU - Pavlidis, Efthymios

AU - Paya, Ivan

AU - Peel, David

N1 - This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 132, 2015 DOI: 10.1016/j.econlet.2015.04.008

PY - 2015/7

Y1 - 2015/7

N2 - International real business cycle models predict a relationship between real exchange rates and consumption. This prediction is not supported by the empirical literature. In a new approach, we apply nonlinear Granger-causality tests to data for 14 OECD countries.

AB - International real business cycle models predict a relationship between real exchange rates and consumption. This prediction is not supported by the empirical literature. In a new approach, we apply nonlinear Granger-causality tests to data for 14 OECD countries.

KW - Nonlinear Granger causality

KW - Real exchange rates

KW - Consumption

KW - Heteroskedasticity robust test

U2 - 10.1016/j.econlet.2015.04.008

DO - 10.1016/j.econlet.2015.04.008

M3 - Journal article

VL - 132

SP - 13

EP - 17

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -