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

Table 4

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

Relation (𝐴→𝐵)	F-statistic	Probability
DLCPI → DLPSDJ	0.2014	0.6538
DLPSDJ → DLCPI	0.3002	0.5840