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

Table 3

Test for nonlinear causality (asymmetric case for negative returns). 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^n→ DLMET	5.9587	0.0150
DLMET^n→ DLCPI	4.1406	0.0424