Business Cycle Asymmetry and the Stock Market

Param Silvapulle and Mervyn Silvapulle
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Param Silvapulle: School of Economics, La Trobe University
Mervyn Silvapulle: School of Economics, La Trobe University

No 1997.22, Working Papers from School of Economics, La Trobe University

Abstract: 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.

Keywords: Unemployment; Business Cycles; Models (search for similar items in EconPapers)
Pages: 23 pages
Date: 1997
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1997.22

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