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

Table 1

Test for nonlinear causality (symmetric case). If 𝑃>.05, then at 5% we accept the null hypothesis that 𝐴 does not cause 𝐵. The parameters for the M-G model were 𝜏₁=3, 𝜏₂=1, and 𝑐₁=𝑐₂=2.

Relation (𝐴→𝐵)	F-statistic	Probability
DLCPI → DLMET	4.5745	0.0329
DLMET → DLCPI	3.9202	0.0483