Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/148215 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series No. 1/2016
Verlag: 
Hamburg University, Department Socioeconomics, Hamburg
Zusammenfassung: 
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.
Schlagwörter: 
Cointegration
Granger causality
frequency domain
animal spirits
stock market
unemployment rate
JEL: 
E12
E44
C32
Dokumentart: 
Working Paper

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