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

Sofiane Aboura ()
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Sofiane Aboura: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Abstract: 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.

Keywords: Asymmetry; Cointegration; Fed model (search for similar items in EconPapers)
Date: 2007
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Published in Applied Economics Letters, 2007, ND, pp.ND

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00154378

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