Evidence for Nonlinear Asymmetric Causality in U.S. Inflation, Metal and Stock Returns

The purpose of this paper is to propose a version of causality testing that focuses on the role of the sign of the returns on 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 U.S. economic series, including inflation, metal and stock returns

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Year of publication:	[2008]
Authors:	Hristu-Varsakelis, Dimitris
Other Persons:	Kyrtsou, Catherine (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Series:	Technical Report, Working Group on Nonlinear Dynamics in Economic and Social Systems, University of Macedonia, Thessaloniki, Greece
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 11, 2007 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012773523