Detecting Positive Feedback in Multivariate Time Series : The Case of Metal Prices and US Inflation

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 (2006) 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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Year of publication:	[2007]
Authors:	Kyrtsou, Catherine
Other Persons:	Labys, Walter C. (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Inflation \| Theorie \| Theory \| Preis \| Price
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Physica A, Vol. 377, pp. 227-229, 2007 Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; E31 - Price Level; Inflation; Deflation ; E60 - Macroeconomic Policy Formation, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012776658