The global financial crisis of 2007-2012 has led to more studies investigate the relationship between financial markets and the real economy. This has brought more transparency to the economy, prepared a more suitable environment for investment and starting up a business. This study examines the effects of the inflation shock, change in inventory and change in the index of Tehran Stock Exchange on the unemployment rate in the period 2001-2015. This study is an applied research and is descriptive and correlation research in terms of methods. For data analysis, we use econometric models based on the differentially generalized asymmetric ARCH and TARCH. The results show that the response of unemployment rate to positive and negative shocks of the stock market index is symmetric. Moreover, the findings indicate that the response of unemployment rate to a change in inventory is not significant while the unemployment rate response to inflation shocks is positive and significant