Using the following us data federal funds rate ffr, Ask an Expert

Economics

Using the following US data: Federal Funds Rate (ffr), intermediate-term rate: Government Bond Yields 3 Years (mid), and long-term rate: Government Bond Yields 10 Years (long), a researcher obtains the following Granger Causality Test results

Pairwise Granger Causality tests Date 11/18/00 Time 13:00 Sample 1980.01 2000:09

Null Hypothesis.	Obs	F.Siatistic	Probabildy
MID does nc4 Granger Cause FFR	247	32 8313	24E-13
FFR does not Granger Cause MID		4 62628	0 01E67
LONG does not Granger Cause FFR	247	23 7796	3 7E-10
FFR does riot Granger Cause LONG		2 37307	0.09536
LONG does not Granger Cause MID	247	508827	0.00685
MID does not Granger Cause LONG		1.70200	0 18449

a. What can you conclude about the relationship between these three interest rates?

b. How do you select the lag length for Granger Causality test?

c. Can we perform Granger Causality test with VECM?

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Microeconomics, Economics

Category:- Microeconomics
Reference No.:- M91736087

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