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Business Cycle Asymmetry and the Stock Market

  • Param Silvapulle

    (School of Economics, La Trobe University)

  • Mervyn J Silvapulle

    (School of Economics, La Trobe University)

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    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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    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:trb:wpaper:1997.22
    Contact details of provider: Web page: http://www.latrobe.edu.au/economics
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