How do Economic Growth Asymmetry and Inflation Expectations Affect Fisher Hypothesis and Fama’s Proxy Hypothesis?

How do Economic Growth Asymmetry and Inflation Expectations Affect Fisher Hypothesis and Fama’s Proxy Hypothesis?

Based on the threshold panel data model, this study employs the quarterly panel data of 38 countries between 1981 and 2014 to test whether economic growth asymmetry, expected inflation, and unexpected inflation affect the Fisher hypothesis and Fama’s proxy hypothesis. The empirical results show the...

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Bibliographic Details
Main Authors: Yuan-Ming Lee, Kuan-Min Wang
Format: Article
Language:English
Published: AIMS Press 2017-12-01
Series:Quantitative Finance and Economics
Subjects:
stock return
economic growth
inflation expectation
threshold dynamic panel data model
Fama’s proxy hypothesis
Online Access:http://www.aimspress.com/QFE/article/1755/fulltext.html

Internet

http://www.aimspress.com/QFE/article/1755/fulltext.html

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