Causality analysis in the sense of Wiener-Granger are usually based on a vector autoregressive (VAR) specification of the data-generating process. This is the case in particular for the numerous studies of causality between money and income in macro-economics. Since a VAR specification is...

The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights--in terms of information--for the conduct of monetary policy, since asset prices...