Journal
JOURNAL OF MACROECONOMICS
Volume 31, Issue 1, Pages 200-211Publisher
LOUISIANA STATE UNIV PR
DOI: 10.1016/j.jmacro.2008.02.001
Keywords
BEKK Garch and Mackey-Glass processes; Structural changes; Comovements; Interest rates; Nonlinear dynamics
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The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass recently proposed by Kyrtsou and Labys [Kyrtsou, C., Labys, W., 2006. Evidence for chaotic dependence between US inflation and commodity prices. Journal of Macroeconomics 28(1), 256-266; Kyrtsou, C., Labys, W., 2007. Detecting positive feedback in multivariate time series: the case of metal prices and US inflation. Physica A 377(1), 227-229.] and the BEKK Garch processes. An empirical exercise using the US effective Federal fund rates and 3-month T-Bill rates will show that for specific time periods the comovements between series are due to inherent non-linear deterministic dynamics. (C) 2008 Elsevier Inc. All rights reserved.
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