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
TypeArticle accepté pour publication ou publié
Journal nameApplied Economics Letters
Routledge Taylor and Francis Group
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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 / KeywordsFed model; Cointegration; Asymmetry
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