Granger causality from exchange rates to fundamentals: What does the bootstrap test show us?

Hsiu Hsin Ko, Masao Ogaki

研究成果: Article査読

11 被引用数 (Scopus)

抄録

We use a residual-based bootstrap method to re-examine the finding of the Granger causality relation from exchange rates to fundamentals in Engel and West (2005), in which the relation is taken as evidence for their explanation for the present-value model for exchange rates. Our test results are against the previous findings. The Monte Carlo experiment results suggest that the previous evidence for the causality relation from exchange rates to fundamentals is very likely caused by the size distortion. Hence, the existing Granger causality evidence is not strong enough to validate the new explanation for the present-value model.

本文言語English
ページ(範囲)198-206
ページ数9
ジャーナルInternational Review of Economics and Finance
38
DOI
出版ステータスPublished - 2015 7 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

フィンガープリント

「Granger causality from exchange rates to fundamentals: What does the bootstrap test show us?」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル