Question
h) I proceed to study the short-run dynamic of the changes in gold price (LGPRICE) and inflation (INF) and estimated a VAR model. Write down
h) I proceed to study the short-run dynamic of the changes in gold price (∆LGPRICE) and inflation (INF) and estimated a VAR model. Write down the VAR(1) model using the notation ∆LGPRICE and INF?
(j) Using the regression model in part (h), I performed the Granger causality test to determine the predictive power of INF on ∆LGPRICE, and vice versa. State the null hypothesis of these Granger causality tests using the coefficients/parameters in the VAR specification?
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Fixed Income Securities Valuation Risk and Risk Management
Authors: Pietro Veronesi
1st edition
0470109106, 978-0470109106
