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

Author

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  • Michelle L. Barnes

    (School of Economics, University of Adelaide)

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.

Suggested Citation

  • Michelle L. Barnes, 1998. "Non-linear Threshold Relationships between Inflation and Nominal Returns: A Time Series Approach to 39 Different Countries," School of Economics Working Papers 1998-11, University of Adelaide, School of Economics.
  • Handle: RePEc:adl:wpaper:1998-11
    as

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    File URL: http://www.economics.adelaide.edu.au/research/papers/doc/wp1998-11.pdf
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    References listed on IDEAS

    as
    1. Anderson, Kym, 1995. "Lobbying Incentives and the Pattern of Protection in Rich and Poor Countries," Economic Development and Cultural Change, University of Chicago Press, vol. 43(2), pages 401-423, January.
    2. Conrad Klaus, 1993. "Taxes and Subsidies for Pollution-Intensive Industries as Trade Policy," Journal of Environmental Economics and Management, Elsevier, vol. 25(2), pages 121-135, September.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    financial market; inflation; linear model;

    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; Trading Volume; Bond Interest Rates

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