Time-varying Granger causality between the stock market and unemployment in the United States

Vincent Fromentin ()
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Vincent Fromentin: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

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Abstract: In this paper, we look at the connection between the stock market and the unemployment rate in the United States. Using a recent time-varying Granger causality framework covering the period from January 1960 to October 2020, tests reveal that lagged realizations of the stock market have predictive power regarding unemployment, and vice et versa, but that the predictive ability only occurs sporadically over time, particularly during ‘crash' periods. These results are in line with the literature on the information spillover between finance markets and the real-life economy, with changes of causality across time.

Keywords: Stock market; unemployment; time-varying causality; United States (search for similar items in EconPapers)
Date: 2021-10-24
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Published in Applied Economics Letters, 2021, pp.1-8. ⟨10.1080/13504851.2021.1987378⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03451701

DOI: 10.1080/13504851.2021.1987378

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