文献类型：期刊文献

英文题名：Non-parametric determination of real-time lag structure between two time series: The "optimal thermal causal path" method with applications to economic data

作者：Zhou, WX; Sornette, D

机构：[1]Univ Calif Los Angeles, Inst Geophys & Planetary Phys, Los Angeles, CA 90095 USA;[2]Univ Calif Los Angeles, Dept Earth & Space Sci, Los Angeles, CA 90095 USA;[3]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, State Key Lab Chem React Engn, Shanghai 200237, Peoples R China;[5]CNRS, UMR 6622, Phys Mat Condensee Lab, F-06108 Nice, France;[6]Univ Nice, F-06108 Nice 2, France

年份：2006

卷号：28

期号：1

起止页码：195

外文期刊名：JOURNAL OF MACROECONOMICS

收录：;WOS:【SSCI(收录号:WOS:000235766200016)】；

语种：英文

外文关键词：causality time-dependent correlation; distance matrix; lead lag; time series; stock markets; bond yields; inflation; GDP growth; unemployment

摘要：We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists in constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the lag-lead structure is searched as the optimal path in the distance matrix landscape that minimizes the total mismatch between the two time series, and that obeys a one-to-one causal matching condition. We apply our method to the question of the causality between the US stock market and the treasury bond yields and confirm earlier results on a causal arrow of the stock markets preceding the Federal Reserve Funds adjustments as well as the yield rates at short maturities in the period 2000-2003. The application to inflation, inflation change, GDP growth rate and unemployment rate unearths non-trivial causal relationships: the GDP changes lead inflation especially since the 1980s, inflation changes lead GDP only in the 1980 decade, and inflation leads unemployment rates since the 1970s. In addition, we detect multiple competing causality paths in which (me can have inflation leading GDP with a certain lag time and GDP feeding back/leading inflation with another lag time. (c) 2005 Elsevier Inc. All rights reserved.