Detecting positive feedback in multivariate time series: The case of metal prices and US inflation
AbstractThe objective of this paper is to examine causality and feedback relationships between primary commodity prices and US inflation. To this end, the bivariate noisy Mackey–Glass process recently developed by Kyrtsou and Labys [Evidence for chaotic dependence between US inflation and commodity prices, J. Macroecon. 28(1) (2006) 256–266] has been applied to assess this relationship. Results obtained support evidence in favour of causality, which can help to identify the influences of speculative price behaviour on inflation.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 377 (2007)
Issue (Month): 1 ()
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Positive feedback; Multivariate time series; Noisy chaos; Noisy Mackey–Glass process; Economic time series;
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