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

Michelle Barnes

No 1998-11, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: 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.

Keywords: financial market; inflation; linear model (search for similar items in EconPapers)
JEL-codes: C52 G10 G12 (search for similar items in EconPapers)
Pages: 42 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:1998-11

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