Threshold adjustment in the long-run relationship between stock prices and economic activity

Steven Cook

Applied Financial Economics Letters, 2007, vol. 3, issue 4, 243-246

Abstract: In recent years a large literature has emerged considering the relationship between financial and macroeconomic variables. The present article extends this research via consideration of threshold adjustment in the relationship between stock prices and economic activity in the UK. The results obtained show that use of momentum threshold autoregressive cointegration testing uncovers previously undetected asymmetry in the long-run relationship between the stock market and economic activity.

Date: 2007
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DOI: 10.1080/17446540601018931

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