EconPapers    
Economics at your fingertips  
 

Testing for cointegration with threshold effect between unemployment and stock prices

Ozer Arabaci

Applied Economics Letters, 2018, vol. 25, issue 9, 643-647

Abstract: Under the dominant role of a belief function, Farmer argues that the stock market is the Granger cause of the unemployment rate, which implies that the natural rate hypothesis is an outdated idea. This article provides some new empirical evidence supporting this view using threshold cointegration and asymmetric error correction models. The results show that these models can assess asymmetric dynamics between unemployment and the stock market. Moreover, regime switches of the momentum threshold autoregressive adjustment specification are highly consistent with recessions in the US economy during the last 60 years.

Date: 2018
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2017.1355529 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:9:p:643-647

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2018-08-15
Handle: RePEc:taf:apeclt:v:25:y:2018:i:9:p:643-647