Evidence for Chaotic Dependence between US Inflation and Commodity Prices

Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic multivariate model, using the bivariate noisy Mackey-Glass process, to approximate the complex dynamics that determine the specific character of the observed causality and feedback

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Year of publication:	[2007]
Authors:	Kyrtsou, Catherine
Other Persons:	Labys, Walter C. (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Inflation \| Rohstoffpreis \| Commodity price \| USA \| United States \| Kointegration \| Cointegration \| Kausalanalyse \| Causality analysis \| Nichtlineare Regression \| Nonlinear regression
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Macroeconomics, Vol. 28, No. 1, 2006 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/10012776655