Business Cycle Asymmetry and the Stock Market
AbstractThis 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 InfoPaper provided by School of Economics, La Trobe University in its series Working Papers with number 1997.22.
Length: 23 pages
Date of creation: 1997
Date of revision:
Unemployment; Business Cycles; Models EDIRC Provider-Institution: RePEc:edi:smlatau;
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- Christopher Bajada, 2005. "Unemployment and the underground economy in Australia," Applied Economics, Taylor & Francis Journals, vol. 37(2), pages 177-189.
- 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.
- 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.
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