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

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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Year of publication:	2008-02
Authors:	Aboura, Sofiane ; Boucher, Christophe
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Fed model \| Cointegration \| Asymmetry

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Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Applied Economics Letters, 2008, Vol. 15, no. 2. pp. 91-94.Length: 3 pages
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010861567