works on
causal inference 1factor models 1macro-finance 1monetary policy 1noncausal var 1

From the 1 of 1 linked paper with an AI index.

collaborators

1 paper

econ.EM2026

Nonfundamentalness or missing information ? Evidence from causal-noncausal VARs in macro-finance

Lison Christiaens, Julien Hambuckers, Alain Hecq

The paper examines whether noncausal dynamics in macro‑finance VAR models stem from true nonfundamental behavior or from omitted common information, introducing a factor‑filtered m…