Granger Causality and Equilibrium Business Cycle Theory (ICPSR 1345)

Version Date: May 16, 2007

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Principal Investigator(s):
Wen Yi, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01345.v1

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Summary

Postwar United States data show that consumption growth 'Granger-causes' output and investment growth, which is puzzling if technology is the driving force of the business cycle. The author asks whether general equilibrium models with information frictions and non-technology shocks can rationalize the observed causal relationships. His conclusion is they cannot.

Citation

Yi, Wen. Granger Causality and Equilibrium Business Cycle Theory. Inter-university Consortium for Political and Social Research [distributor], 2007-05-16. https://doi.org/10.3886/ICPSR01345.v1

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Funding

Federal Reserve Bank of St. Louis. Research Division

Subject Terms

Geographic Coverage

Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. (1) In the zipped package that is released are both a data and a program file. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

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Original Release Date

2007-05-16

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:

  • Yi, Wen. Granger Causality and Equilibrium Business Cycle Theory. ICPSR01345-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2007-05-16. http://doi.org/10.3886/ICPSR01345.v1

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Notes

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