Commodities prices causality-in-quantiles tests

Outcomes from causality tests from various factors to commodities prices returns (RET) and to commodities prices volatilities (RV), obtained during the realization of the National Science Centre, Poland, grant number 2022/45/B/HS4/00510, Bayesian dynamic mixture models: An application to the study of time-varying determinants of commodity prices, and the SGS Research Project SP2025/003 of VSB Technical University of Ostrava. F-test_RET contains p-values from the standard Granger causality F-test for prices returns, and F-test_RV - for prices volatilities. DP_test_RET contains p-values from Diks-Panchenko non-linear Granger causality test for prices returns, and DP_test_RV - for prices volatilities. HH_test contains p-values from Hafner-Herwartz causality-in-variance test. Columns names denote commodities names. Rows names denote factors names, i.e., SPCPI - U.S. Sticky Price Consumer Price Index less Food, Energy, and Shelter, MEDCPI - U.S. Median Consumer Price Index, T-bond - U.S. 10-Year Bond Yield, T-bill - U.S. 4-Week Treasury Bill Secondary Market Rate on Discount Basis, VIX - VIX index, DRS - default return spread, GPR - the geopolitical risk (GPR) index, EPU - Economic Policy Uncertainty Index, SP500 - S&P 500 index, SHC - Shanghai Composite Index, SCB - SCB Sentiment Index, GSCPI - Global Supply Chain Pressure Index, AUD - USD/AUD exchange rate, INR - USD/INR exchange rate. q-test_RET and q-test_RV are lists of matrices with names corresponding to the factors names. Rows names of each matrix denote commodities names, and columns names - quantiles. q-test_RET contains test statistics from the nonparametric causality-in-quantiles test in mean. q-test_RV - in variance.