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

Christophe Boucher () and Sofiane Aboura ()
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Christophe Boucher: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Sofiane Aboura: CEREG - Centre de Recherche sur la gestion et la Finance - DRM UMR 7088 - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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: 2008-02
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Published in Applied Economics Letters, 2008, 15 (2), pp.91-94. ⟨10.1080/13504850600706693⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00267993

DOI: 10.1080/13504850600706693

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