Farmer, Roger E. A. (2015) The stock market crash really did cause the Great Recession. Oxford Bulletin of Economics and Statistics, 77 (5). pp. 617-633. doi:10.1111/obes.12100 ISSN 0305-9049.

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Abstract

This paper studies the connection between the stock market and the unemployment rate. I establish three facts. First, the log of the real value of the S&P 500 and the log of a logistic transformation of the unemployment rate are non-stationary cointegrated series. Second, the stock market Granger causes the unemployment rate. Third, the connection between changes in the real value of the stock market and changes in the unemployment rate has remained structurally stable over seventy years. My results establish that the fall in the stock market in the autumn of 2008 provides a plausible causal explanation for the magnitude of the Great Recession.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions
Divisions:	Faculty of Social Sciences > Economics
Library of Congress Subject Headings (LCSH):	Global Financial Crisis, 2008-2009, Stock exchanges, Unemployment -- United States, Stock price indexes, Time-series analysis
Journal or Publication Title:	Oxford Bulletin of Economics and Statistics
Publisher:	Wiley-Blackwell Publishing, Inc
ISSN:	0305-9049
Official Date:	October 2015
Dates:	Date Event October 2015 Published 1 August 2014 Accepted
Volume:	77
Number:	5
Page Range:	pp. 617-633
DOI:	10.1111/obes.12100
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
Date of first compliant deposit:	20 February 2018
Date of first compliant Open Access:	20 February 2018

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