Change detection and the causal impact of the yield curve

• Main Authors: SHI, Shuping, PHILLIPS, Peter C. B., HURN, Stan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2018
• Subjects: Causality; forward recursion; hypothesis testing; recursive evolving test; rolling window; yield curve; real economic activity; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2349; https://ink.library.smu.edu.sg/context/soe_research/article/3348/viewcontent/Change_Detection_Yield_Curve_sv.pdf
• Institution: Singapore Management University

Causal relationships in econometrics are typically based on the concept of predictability and are established by testing Granger causality. Such relationships are susceptible to change, especially during times of financial turbulence, making the real-time detection of instability an important practi...