THE PRICE-DIVIDEND RELATIONSHIP IN INFLATIONARY AND DEFLATIONARY REGIMES

This paper argues that the linear price-dividend relationship as predicted in the Gordon model breaks down in regimes of high inflation and deflation. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

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Year of publication:	2005-06-06
Authors:	Madsen, Jakob ; Milas, Costas
Institutions:	EconWPA
Subject:	Regime-switching \| nonlinearity \| price-dividend relationship \| inflation and deflation

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 11 11 pages
Classification:	G12 - Asset Pricing ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119140