Testing the Fed and the Graham & Dodd models: Asymmetric vs. Symmetric Adjustment
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.
The oil crisis: China, the perfect scapegoat
The Western economies have been confronted with rising oil prices for the past five years. Political instability in the Middle East, social unrest in Nigeria and Hugo Chávez’s nationalisations all reinforce our dread of a shortage.
Asymmetric adjustment of stock prices to their fundamental value and the predictability of US stock returns
Using momentum threshold autoregressive (MTAR) models, we explore the adjustment mechanism between US stock prices and fundamentals. Next, we derive non-linear error-correction models and examine whether they can improve forecasts of stock returns.