Decomposing Granger Causality Over the Spectrum

Lemmens, Aurelie; Croux, Christophe; Dekimpe, M. G.

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Decomposing Granger Causality Over the Spectrum

ERIM Report Series Reference No. ERS-2004-102-MKT

27 Pages Posted: 27 Dec 2010

See all articles by Aurelie Lemmens

Aurelie Lemmens

Rotterdam School of Management, Erasmus University Rotterdam

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: Suggested Citation

Lemmens, Aurélie and Croux, Christophe and Dekimpe, Marnik, 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