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Testing the fed and the Graham & Dodd models: asymmetric vs. symmetric adjustment

Christophe Boucher () and Sofiane Aboura ()

Applied Economics Letters, 2007, vol. 15, issue 2, 91-94

Abstract: We examine the empirical validity of the Fed model and the Graham & 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.

Date: 2007
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DOI: 10.1080/13504850600706693

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Handle: RePEc:taf:apeclt:v:15:y:2007:i:2:p:91-94