Causality in EU macroeconomic variables

被引：0

作者：

Agiakloglou, Christos ^{[1
]}

Gkouvakis, Michalis ^{[1
]}

Kanas, Aggelos ^{[1
]}

机构：

[1] Univ Piraeus, Dept Econ, Piraeus, Greece

来源：

APPLIED ECONOMICS LETTERS | 2016年 / 23卷 / 04期

关键词：

Vector autoregressive analysis; causal relations; impulse response functions; macro and financial variables; STOCK RETURNS; INTEREST-RATES; TWIN DEFICITS; REAL ACTIVITY; TIME-SERIES; INFLATION; PRICES; COINTEGRATION; SHOCKS; MARKET;

D O I：

10.1080/13504851.2015.1068919

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This article investigates the interdependence of macroeconomics, financial and other variables for European Union countries using a multivariate vector autoregressive (VAR) approach for quarterly data. The VAR analysis is applied to all bivariate cases, and the best fitted models are selected in order to conduct Granger causality testing and impulse response functions. Contrary to the existing literature, this study reveals evidence of a unilateral direction between several cases and ambiguous results regarding Impulse response functions analysis.

引用

页码：264 / 277

页数：14

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