THE PRICE-DIVIDEND RELATIONSHIP IN INFLATIONARY AND DEFLATIONARY REGIMES

Jakob B. Madsen () and Costas Milas

Econometrics from EconWPA

Abstract: This paper argues that the linear price-dividend relationship as predicted in the Gordon model breaks down in regimes of high inflation and deflation. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

Keywords: Regime-switching; nonlinearity; price-dividend relationship; inflation and deflation. (search for similar items in EconPapers)
JEL-codes: G12 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-mac
Date: 2005-06-06
Note: Type of Document - pdf; pages: 11
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http://129.3.20.41/eps/em/papers/0506/0506002.pdf (application/pdf)

Related works:
Working Paper: The Price-Dividend Relationship in Inflationary and Deflationary Regimes (2003)
Working Paper: The price-dividend relationship in inflationary and deflationary regimes (2005)
Journal Article: The price-dividend relationship in inflationary and deflationary regimes (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0506002

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