Discrete Dynamics in Nature and Society
Volume 2008 (2008), Article ID 138547, 7 pages
Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns
1Department of Applied Informatics, University of Macedonia, 156 Egnatia Street, Thessaloniki 54006, Greece
2Department of Economics, University of Macedonia, 156 Egnatia Street, Thessaloniki 54006, Greece
Received 2 October 2007; Accepted 9 May 2008
Academic Editor: Masahiro Yabuta
Copyright © 2008 D. Hristu-Varsakelis and C. Kyrtsou. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The purpose of this paper is to propose a version of causality testing that focuses on
how the sign of the returns affects 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 US
economic series, including inflation, metal, and stock returns.