Template-Type: ReDIF-Paper 1.0
Author-Name: Lemmens, A.
Author-Name-Last: Lemmens
Author-Name-First: Aurélie
Author-Name: Croux, C.
Author-Name-Last: Croux
Author-Name-First: Christophe
Author-Name: Dekimpe, M.G.
Author-Name-Last: Dekimpe
Author-Name-First: Marnik
Title: Decomposing Granger Causality over the Spectrum
Abstract: We develop a bivariate spectral Granger-causality test that can be applied at each individual frequency of the spectrum. The spectral approach to Granger causality has the distinct advantage that it allows to disentangle (potentially) di®erent Granger- causality relationships over di®erent time horizons. We illustrate the usefulness of the proposed approach in the context of the predictive value of European production expectation surveys.
Creation-Date: 2004-12-01
File-URL: https://repub.eur.nl/pub/1814/ERS%202004%20102%20MKT.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2004-102-MKT
Classification-JEL: C44, C53, M, M31
Keywords: Granger causality, business surveys, production expectations, spectral analysis
Handle: RePEc:ems:eureri:1814