Our objective in this paper is to identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality. The main contribution is the construction of a noisy chaotic...

This paper attempts to investigate further the nonlinear feedback relationship found in Kyrtsou and Labys (2006) between US inflation (BLS CPI) and primary commodity price index (the BLS PPI component for all primary commodity series). Our goal is to disaggregate the above index to the...