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.

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ERIM Report Series Research in Management
Erasmus Research Institute of Management

Lemmens, A., Croux, C., & Dekimpe, M. (2004). Decomposing Granger Causality over the Spectrum (No. ERS-2004-102-MKT). ERIM Report Series Research in Management. Retrieved from http://hdl.handle.net/1765/1814