This paper attempts to investigate further the nonlinear feedback relationship found in Kyrtsou and Labys (2006) between US inflation (BLS CPI) and primary commodity price index (the BLS PPI component for all primary commodity series). Our goal is to disaggregate the above index to the...

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...

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...

CPI inflation is subject to structural changes and exogeneous shocks that can have a significant impact to its dynamic evolution. The observed interaction between the intrinsic side of inflation dynamics and the disturbances fuels a rich spectrum of behaviors. To accommodate the complex outcome...