The reaction of stock market returns to unemployment

DOI10.1515/snde-2015-0078OpenAlexW2603707793MaRDI QIDQ2691716

Yanyan Li

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0078

zbMATH Keywords

monetary policyconditional independencenonparametric testsstock market returnslocal bootstrapGranger causality in quantileanticipated unemploymentFederal funds rateGranger causality in distributionunanticipated unemployment

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Macroeconomic theory (monetary models, models of taxation) (91B64)

Uses Software

• AS 229
• Algorithm 478

Cites Work

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