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Detecting positive feedback in multivariate time series: The case of metal prices and US inflation

  • Kyrtsou, Catherine
  • Labys, Walter C.

The 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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File URL: http://www.sciencedirect.com/science/article/pii/S0378437106011927
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 377 (2007)
Issue (Month): 1 ()
Pages: 227-229

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Handle: RePEc:eee:phsmap:v:377:y:2007:i:1:p:227-229
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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  1. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186 Elsevier.
  2. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, 09.
  4. Westerhoff, Frank & Reitz, Stefan, 2005. "Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 349(3), pages 641-648.
  5. Hommes, Cars H. & Manzan, Sebastiano, 2006. "Comments on "Testing for nonlinear structure and chaos in economic time series"," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 169-174, March.
  6. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
  7. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
  8. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Society for Computational Economics, vol. 21(3), pages 257-276, June.
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