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| Author: | Hassapis, C. |
| Title: | Unit roots and Granger causality in the EMS interest rates: the German dominance hypothesis revisited |
| Journal: | Journal of International Money and Finance
1999 : FEB, VOL. 18:1, p. 47-74 |
| Index terms: | UNIT ROOTS EUROPEAN MONETARY SYSTEM INTEREST RATES |
| Language: | eng |
| Abstract: | The aim of this paper is twofold. First, it shows that: (a) sufficient conditions for unit roots, found in AR AR systems, to persist in VAR systems amount to Granger non-causality in any direction among the variables involved; (b) for first-order models with non-explosive variables Granger causality is also sufficient for cointegration; and (c) causality and cointegration inference are strongly affected by the omission of an important causing variable. |
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