Rodrigues, Paulo Manuel MarquesInverneiro, Miguel Teixeira Rodrigues2024-10-112024-01-312023-12-20http://hdl.handle.net/10362/173360This paper analyzes time-varying Granger-causality in the context of structural breaks and changes, employing recursive and recursive evolving window algorithms. A novel approach using the Flexible Fourier Form (Gallant, 1981) for modeling structural breaks is developed, and it is shown that there are no significant size distortions or power losses while accounting for structural breaks of unknown form and date in the deterministic component. Our methodology, applied to the Yield Curve Spanning Hy pothesis, reveals that the hypothesis cannot be universally upheld, as the yield curve only occasionally spans relevant information to predict yields.engGranger-causalityFlexible fourier formTime-varying causalityStructural breaksYield curveSpanning hypothesisRecursive testmaster thesis203600576