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Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment

Aboura, Sofiane; Boucher, Christophe (2008), Testing the Fed and the Graham and Dodd Models : Asymmetric vs Symmetric Adjustment, Applied Economics Letters, 15, 2, p. 91-94. 10.1080/13504850600706693

Type
Article accepté pour publication ou publié
Date
2008
Journal name
Applied Economics Letters
Volume
15
Number
2
Publisher
Routledge Taylor and Francis Group
Pages
91-94
Publication identifier
Metadata
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Author(s)
Aboura, Sofiane
Dauphine Recherches en Management [DRM]
Boucher, Christophe
Abstract (EN)
We examine the empirical validity of the Fed Model and the Graham and Dodd model for five countries and over a time period spanning three decades by applying the Enders and Granger (1998) and Enders and Siklos (2001) threshold unit-root and cointegration tests. Our results support the hypothesis that the adjustment back to equilibrium is asymmetric.
Subjects / Keywords
Fed model; Cointegration; Asymmetry
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates