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

Table 5

Test for nonlinear causality (asymmetric case for positive returns). 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^p→ DLPSDJ	0.4780	0.4896
DLPSDJ^p→ DLCPI	19.7506	1.0853E-5