Discrete Dynamics in Nature and Society
Volume 2008 (2008), Article ID 138547, 7 pages
doi:10.1155/2008/138547
Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns
D. Hristu-Varsakelis1
and C. Kyrtsou2
1Department of Applied Informatics, University of Macedonia, 156 Egnatia Street, Thessaloniki 54006, Greece
2Department of Economics, University of Macedonia, 156 Egnatia Street, Thessaloniki 54006, Greece
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.