Detecting positive feedback in multivariate time series: The case of metal prices and US inflation

被引：28
|
作者：
Kyrtsou, Catherine
Labys, Walter C.
机构：
[1] Univ Macedonia, Dept Econ, Thessaloniki, Greece
[2] W Virginia Univ, Morgantown, WV 26506 USA
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 377卷 / 01期
关键词：
positive feedback; multivariate time series; noisy chaos; noisy Mackey-Glass process; economic time series;
D O I：
10.1016/j.physa.2006.11.002
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
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 [Evidence for chaotic dependence between US inflation and commodity prices, J. Macroecon. 28(1) (2006) 256-266] has been applied to assess this relationship. Results obtained support evidence in favour of causality, which can help to identify the influences of speculative price behaviour on inflation. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：227 / 229
页数：3
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