Models recently studied by Farmer (2012, 2013, 2015) predict that, due to labor-market frictions and "animal spirits", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger-causality tests on more than half a century of data of German...

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...