Decomposing Granger Causality Over the Spectrum

27 Pages Posted: 27 Dec 2010  

Aurelie Lemmens

Tilburg University

Christophe Croux

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES); Catholic University of Leuven (KUL) - Department of Applied Economics

M. G. Dekimpe

Catholic University of Leuven (KUL) - Department of Applied Economics; Erasmus Research Institute of Management (ERIM)

Date Written: December 1, 2004

Abstract

We develop a bivariate spectral Granger-causality test that can be applied at eachindividual frequency of the spectrum. The spectral approach to Granger causality hasthe distinct advantage that it allows to disentangle (potentially) di®erent Granger-causality relationships over di®erent time horizons. We illustrate the usefulness ofthe proposed approach in the context of the predictive value of European productionexpectation surveys.

Keywords: business surveys, Granger causality, production expectations, spectral analysis

JEL Classification: M, M31, C53, C44

Suggested Citation

Lemmens, Aurelie and Croux, Christophe and Dekimpe, M. G., Decomposing Granger Causality Over the Spectrum (December 1, 2004). ERIM Report Series Reference No. ERS-2004-102-MKT. Available at SSRN: https://ssrn.com/abstract=1730026

Aurélie Lemmens (Contact Author)

Tilburg University ( email )

Tilburg, 5000 LE
Netherlands

Christophe Croux

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

Catholic University of Leuven (KUL) - Department of Applied Economics ( email )

Leuven, B-3000
Belgium

Marnik Dekimpe

Catholic University of Leuven (KUL) - Department of Applied Economics ( email )

Leuven, B-3000
Belgium
+32 16 326 957 (Phone)
+32 16 326 732 (Fax)

HOME PAGE: http://www.econ.kuleuven.ac.be/tew/academic/market/members/MarnikDekimpe.htm

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 1715/9576 (Phone)
+31 10 408 9011 (Fax)

HOME PAGE: http://web.eur.nl/fbk/dep/dep3/about/members/people/mdekimpe

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