 The behaviour of stock returns and interest rates over the business cycle in the US and UKElena Andreou, Rita Desiano and Marianne Sensier () Applied Economics Letters, 2001, vol. 8, issue 4, 233-238 Abstract: The paper studies the dynamic behaviour of the conditional mean and volatility of weekly financial variables in relation to the business cycle for the USA and UK economies. The mean US S&P stock returns steadily increases before a recession, then declines approximately six weeks prior to the trough date. Volatility reaches a local maximum 6 weeks prior to the recession, then peaks with the business cycle peak, but falls prior to the trough where the minimum is reached three weeks before. In the UK the FTSE volatility also falls before a recession but reaches its maximum 10 weeks after the peak date and has its minimum after the trough. Similarly, US interest rates are falling before a recession but there is no clear effect in the UK. The volatility of UK interest rates increases before and after the recession date. Overall more leading indicator information is provided by US stock returns and short interest rates whereas the respective UK variables seem to lag the business cycle phases. Date: 2001 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:8:y:2001:i:4:p:233-238 Ordering information: This journal article can be ordered from DOI: 10.1080/135048501750103935 Access Statistics for this article Applied Economics Letters is currently edited by Anita Phillips More articles in Applied Economics Letters from Taylor & Francis Journals |
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