Animal spirits, the stock market, and the unemployment rate: Some evidence for German data

Arbeitspapier

Models recently studied by Farmer (2012, 2013, 2015) predict that, due to labor-market frictions and "animal spirits", stock-market fluctuations should Granger cause fluctuations of the unemployment rate. We performed several Granger-causality tests on more than half a century of data of German data to test this hypothesis. Confirming findings documented by Farmer (2015) for U.S. data, we found that the stock market Granger causes unemployment in the short run and the long run when we control for a deterministic trend in the unemployment rate. Results of a frequency-domain test show that, in the short run, feedback cannot be rejected, whereas the causality clearly runs from the stock market to the unemployment rate in the medium to long run.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series ; No. 1/2016

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Aggregative Models: Keynes; Keynesian; Post-Keynesian ; Financial Markets and the Macroeconomy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Cointegration ; Granger causality ; frequency domain ; animal spirits ; stock market ; unemployment rate

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Fritsche, Ulrich ; Pierdzioch, Christian
• Ereignis: Veröffentlichung
• (wer): Hamburg University, Department Socioeconomics
• (wo): Hamburg
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/148215
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ