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Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns

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  • D. Hristu-Varsakelis
  • C. Kyrtsou

Abstract

The purpose of this paper is to propose a version of causality testing that focuses on how the sign of the returns affects the causality results. We replace the traditional VAR specification used in the Granger causality test by a discrete-time bivariate noisy Mackey glass model. Our test reveals interesting and previously unexplored relationships in US economic series, including inflation, metal, and stock returns.

Suggested Citation

  • D. Hristu-Varsakelis & C. Kyrtsou, 2008. "Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns," Discrete Dynamics in Nature and Society, Hindawi, vol. 2008, pages 1-7, May.
    • Handle: RePEc:hin:jnddns:138547
    DOI: 10.1155/2008/138547
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    References listed on IDEAS

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