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

D. Hristu-Varsakelis and Catherine Kyrtsou

Discrete Dynamics in Nature and Society, 2008, vol. 2008, 1-7

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.

Date: 2008
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:138547

DOI: 10.1155/2008/138547

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