Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries
AbstractA 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.
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Bibliographic InfoPaper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 1998-11.
Length: 42 pages
Date of creation: 1998
Date of revision:
financial market; inflation; linear model;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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