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Business Cycle Asymmetry and the Stock Market

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Author Info

  • Param Silvapulle

    (Department of Economics and Finance, La Trobe University)

  • Mervyn J Silvapulle

    (Department of Economics and Finance, La Trobe University)

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    Abstract

    This paper investigates whether the systematic asymmetric behaviour of the US unemployment rate can be explained by the stock market. We consider threshold models to capture the asymmetric relationship between quarterly US unemployment rate and Dow Jones Industrial Average (DJ) stock returns. We test a range of null hypotheses of equality restrictions against inequality constraints and the composite null hypothesis involving "steepness" in business cycles.

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    Bibliographic Info

    Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1997.22.

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    Length: 23 pages
    Date of creation: 1997
    Date of revision:
    Handle: RePEc:ltr:wpaper:1997.22

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    Web page: http://www.latrobe.edu.au/economics
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    Related research

    Keywords: Unemployment; Business Cycles; Models EDIRC Provider-Institution: RePEc:edi:smlatau;

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    Cited by:
    1. Christopher Bajada & Friedrich Schneider, 2009. "Unemployment and the Shadow Economy in the oecd," Revue économique, Presses de Sciences-Po, vol. 60(5), pages 1033-1067.
    2. Jason S. Seligman & Jeffrey B. Wenger, 2005. "Asynchronous Risk: Unemployment, Equity Markets, and Retirement Savings," Upjohn Working Papers and Journal Articles 05-114, W.E. Upjohn Institute for Employment Research.
    3. Christopher Bajada, 2005. "Unemployment and the underground economy in Australia," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 177-189.

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