Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries

A linear null relationship between nominal returns and inflation is tested against threshold alternatives using quarterly and monthly data for 39 different countries. These threshold alternatives and the linear nulls are then estimated to unover the nature of linear and threshold relationships between nominal returns and inflation.

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Year of publication:	1998
Authors:	Barnes, Michelle L.
Institutions:	School of Economics, University of Adelaide
Subject:	financial market \| inflation \| linear model

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Extent:	application/pdf
Series:	School of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1998-11 42 pages
Classification:	C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008552900