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