The reaction of stock market returns to anticipated unemployment

Research, Preprint OPEN
Taamouti, Abderrahim; Gonzalo Muñoz, Jesús;
(2012)
  • Subject: conditional independence | Federal funds rate | E44 | Economía | anticipated unemployment | unanticipated unemployment | Granger causality in distribution | C14 | C58 | Stock market returns | G12 | monetary policy | Locla bootstrap | Granger causality in quantile | nonparametric tests | money supply | local bootstrap
    • jel: jel:G12 | jel:C58 | jel:C14 | jel:E44

We empirically investigate the short-run impact of anticipated and unanticipated unemployment rates on stock prices. We particularly examine the nonlinearity in stock market's reaction to unemployment rate and study the effect at each individual point (quantile) of stoc... View more
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