Nonfarm employment and the arbitrage pricing theory

Nonfarm employment and the arbitrage pricing theory

Here we use a nonlinear seemingly unrelated regression technique to demonstrate that nonfarm employment (NFE) is a priced source of risk in financial markets. We also find that NFE affects primarily cyclical industries.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Economics letters 1995, Vol.47 (2), p.193-198
Hauptverfasser: Thorbecke, Willem, Chisholm, Geoff
Format: Artikel
Sprache:eng
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Here we use a nonlinear seemingly unrelated regression technique to demonstrate that nonfarm employment (NFE) is a priced source of risk in financial markets. We also find that NFE affects primarily cyclical industries.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(94)00537-C