Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy

Abstract : In this paper, a rolling window strategy is employed to detect the linear and nonlinear Granger causality relationships between the U.S. federal funds rate and the 10-year government bond rate, during different time horizons, investigating whether these causalities change with the passing of time. For linear Granger causality tests, we apply the Toda-Yamamoto (1995) approach and for nonlinear ones we use a nonlinear Granger causality test introduced by Diks and Panchenko (2006). Our findings show that during nearly all time periods there is a significant two-way Granger causality relationship between these two interest rates.
Type de document :
Article dans une revue
Metroeconomica, Wiley, 2017
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https://hal-univ-paris13.archives-ouvertes.fr/hal-01435721
Contributeur : Pascal Seppecher <>
Soumis le : dimanche 15 janvier 2017 - 13:56:26
Dernière modification le : jeudi 11 janvier 2018 - 06:23:32

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  • HAL Id : hal-01435721, version 1

Citation

Azadeh Rahimi, Ba M. Chu, Marc Lavoie. Linear and nonlinear Granger causality between short-term and long-term interest rates: a rolling-window strategy. Metroeconomica, Wiley, 2017. 〈hal-01435721〉

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