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

DOI10.1016/J.ECONLET.2015.04.008zbMath1364.62279OpenAlexW2001061890MaRDI QIDQ529715

Efthymios G. Pavlidis, Ivan Paya, David A. Peel

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.04.008

zbMATH Keywords

real exchange ratesconsumptionheteroskedasticity robust testnonlinear Granger causality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?
• Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study
• Causality tests and conditional heteroskedasticity: Monte Carlo evidence

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