Modelling non-linear comovements between time series

Catherine KYRTSOU and Costas Vorlow

Journal of Macroeconomics, 2009, vol. 31, issue 1, pages 200-211

Abstract: The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass recently proposed by Kyrtsou and Labys [Kyrtsou, C., Labys, W., 2006. Evidence for chaotic dependence between US inflation and commodity prices. Journal of Macroeconomics 28(1), 256-266; Kyrtsou, C., Labys, W., 2007. Detecting positive feedback in multivariate time series: the case of metal prices and US inflation. Physica A 377(1), 227-229.] and the BEKK Garch processes. An empirical exercise using the US effective Federal fund rates and 3-month T-Bill rates will show that for specific time periods the comovements between series are due to inherent non-linear deterministic dynamics.

Keywords: BEKK; Garch; and; Mackey-Glass; processes; Structural; changes; Comovements; Interest; rates; Non-linear; dynamics (search for similar items in EconPapers)
Date: 2009
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Persistent link: http://EconPapers.repec.org/RePEc:eee:jmacro:v:31:y:2009:i:1:p:200-211

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