  The intention of this paper is to discuss the mathematical model of causality
introduced by C.W.J. Granger in 1969. The Granger's model of causality has
become well-known and often used in various econometric models describing
causal systems, e.g., between commodity prices and exchange rates.
  Our paper presents a new mathematical model of causality between two measured
objects. We have slightly modified the well-known Kolmogorovian probability
model. In particular, we use the horizontal sum of set $\sigma$-algebras
instead of their direct product.
