The Granger-causal relationship between the size and dispersion of fluctuations in sub-components of the US Consumer Price Index (CPI) is examined using both in-sample and out-of-sample tests and data from January 1968 to December 2008. Strong in-sample evidence is found for feedback between...

This paper employs monthly data on China's net oil import from January 1997 to June 2010 to assess the role of China's net import in the evolution of the crude oil price. Based on a vector autoregression (VAR) analysis, we find that the growth of China's net oil import has no significant impact...

Ashley and Ye (2012) exemplifies the state-of-the-art in post-sample Granger causality analysis in a small-scale (bivariate) setting, albeit with a sufficiently large sample (T = 480 months) as to make post-sample testing feasible. In the present work we extend this work in two directions....