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

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Date
2008
Dewey
Economie financière
Sujet
Fed model; Cointegration; Asymmetry
JEL code
G.G1.G12
Journal issue
Applied Economics Letters
Volume
15
Number
2
Publication date
02-2008
Article pages
91-94
Publisher
Routledge Taylor and Francis Group
DOI
http://dx.doi.org/10.1080/13504850600706693
URI
https://basepub.dauphine.fr/handle/123456789/2139
Collections
  • DRM : Publications
Metadata
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Author
Aboura, Sofiane
1032 Dauphine Recherches en Management [DRM]
Boucher, Christophe
Type
Article accepté pour publication ou publié
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.

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