Interest Rate Risk Analysis with Multifactor Model: The US case

Natalia Campos (), Francisco Jareño () and Marta Tolentino ()
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Natalia Campos: epartment of Economic Analysis and Finance, Universidad de Castilla-La Mancha, School of Economic and Business Sciences
Marta Tolentino: Department of Economic Analysis and Finance, Universidad de Castilla-La Mancha, School of Law and Social Sciences

Journal for Economic Forecasting, 2016, issue 1, 14-22

Abstract: This study focuses on analyzing the influence of changes in 10-year nominal interest rates on US sector returns, distinguishing two different periods, before and after the subprime crisis. We run the three-factor model of Fama and French, which incorporates as explanatory factors the nominal interest rate and the size and growth opportunities factors. The US sensitivity varies across sectors and periods, but we evidence a similar response to the previous literature. Finally, the “size” effect is higher than the “growth” impact.

Keywords: interest rate sensitivity; sectoral analysis; US stock market; size factor; growth factor (search for similar items in EconPapers)
JEL-codes: E31 G12 G3 L2 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2016:i:1:p:14-22

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