EconPapers    
Economics at your fingertips  
 

THE FINANCIAL CRISIS IMPACT: AN INDUSTRY LEVEL ANALYSIS OF THE US STOCK MARKET GONZÁLEZ

María de la O, Francisco Jareño () and Frank S. Skinner

Applied Econometrics and International Development, 2017, vol. 17, issue 2, 61-74

Abstract: In this paper, we analyze the impact of the recent financial crisis in the US stock market, specifically on the relation between stock returns, at an industry level, and unexpected changes in nominal interest rates. Thus, we decompose the nominal interest rate into its components: real interest and inflation rates in order to do a more detailed study. This analysis has been carried out in a very long sample period (November 1989 to February 2014), with alternating expansion and recession sub-periods, and in a shorter sample period (December 2001 to March 2011), that contains just one but consecutive and relevant expansion period and a recession period. Although most significant relations are predictably negative, some are consistently positive, suggesting that investments in industries with this positive relation can form a safe haven from unexpected changes in real and nominal interest rates, in line with González et al. (2016).

Keywords: Unexpected inflation; interest rates; Stock return; Business Cycle. (search for similar items in EconPapers)
JEL-codes: E31 G12 G3 L2 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.usc.es/~economet/reviews/aeid1725.pdf
No.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eaa:aeinde:v:17:y:2017:i:2_5

Ordering information: This journal article can be ordered from
http://www.usc.es/economet/info.htm

Access Statistics for this article

More articles in Applied Econometrics and International Development from Euro-American Association of Economic Development
Bibliographic data for series maintained by M. Carmen Guisan ().

 
Page updated 2019-11-04
Handle: RePEc:eaa:aeinde:v:17:y:2017:i:2_5