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Article Dans Une Revue Metroeconomica Année : 2017

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

Azadeh Rahimi
  • Fonction : Auteur
Ba M. Chu
  • Fonction : Auteur

Résumé

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.
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Dates et versions

hal-01435721 , version 1 (15-01-2017)

Identifiants

  • HAL Id : hal-01435721 , version 1

Citer

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, 2017. ⟨hal-01435721⟩
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