Business Cycle Asymmetry and the Stock Market

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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Year of publication:	1997
Authors:	Silvapulle, Param ; Silvapulle, Mervyn J
Institutions:	Department of Economics and Finance, La Trobe Business School
Subject:	Unemployment \| Business Cycles \| Models EDIRC Provider-Institution: RePEc:edi:smlatau

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1997.22 23 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008867919