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

Table 6

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 M-G model parameters were 𝜏₁=𝜏₂=1, and 𝑐₁=𝑐₂=2.

Relation (𝐴→𝐵)	F-statistic	Probability
DLCPI^n→ DLPSDJ	53.9845	8.1768E-13
DLPSDJ^n→ DLCPI	3.7390	0.0537