The price-dividend relationship in inflationary and deflationary regimes

This paper argues that the linear price- dividend relationship as predicted in the Gordon (1962) 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:	2005-07
Authors:	Madsen, Jakob B. ; Milas, Costas
Institutions:	Centre for Economic Research, School of Economics and Management Studies
Subject:	Regime-switching \| nonlinearity \| price-dividend relationship \| inflation and deflation

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Extent:	application/pdf
Series:	Keele Economics Research Papers. - ISSN 1740-231X.
Type of publication:	Book / Working Paper
Notes:	Published in Finance Research Letters, Vol. 2, 2005, pages 260-269. [ doi:10.1016/j.frl.2005.06.001 ] The text is part of a series Keele University, Department of Economics Discussion Papers Number KERP 2005/09 18 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G12 - Asset Pricing ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005767557