Discrete Dynamics in Nature and Society 
Volume 2008 (2008), Article ID 138547, 7 pages
doi:10.1155/2008/138547
Research Article

Evidence for Nonlinear Asymmetric Causality in US Inflation, Metal, and Stock Returns

D. Hristu-Varsakelis1 and C. Kyrtsou2

 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

Recommended by Masahiro Yabuta

Abstract

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.