Regime switching in the dynamic relationship between stock returns and inflation
This study examines nonlinear dynamic relationships between stock returns and inflation in ten major stock markets. Using Hansen and Seo's (2002) threshold error correction model to allow for possible regime shifts in the dynamic relationship between the two variables, threshold effects are found in the adjustment towards the long-run equilibrium relationship between stock returns and inflation for three out of the ten countries considered in this study (France, Switzerland and the USA). Nevertheless, the nonlinear adjustment mechanism is not uniform but rather it is country-specific.
Volume (Year): 1 (2005)
Issue (Month): 5 (September)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFL20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John H. Boyd & Ross Levine & Bruce D. Smith, 1997.
"Inflation and financial market performance,"
573, Federal Reserve Bank of Minneapolis.
- Hansen, Bruce E. & Seo, Byeongseon, 2002.
"Testing for two-regime threshold cointegration in vector error-correction models,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 293-318, October.
- Tom Doan, . "RATS programs to replicate Hansen/Seo paper on threshold cointegration," Statistical Software Components RTZ00092, Boston College Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:taf:apfelt:v:1:y:2005:i:5:p:273-277. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.