6533b85bfe1ef96bd12bbcc9
RESEARCH PRODUCT
US stock market sensitivity to interest and inflation rates: a quantile regression approach
Francisco JareñoRomán FerrerStanislava Miroslavovasubject
InflationEconomics and Econometrics050208 financeFinancial economicsmedia_common.quotation_subject05 social sciencesInternational Fisher effectInterest rateQuantile regressionInterest rate risk0502 economics and businessEconomicsEconometricsFisher hypothesisStock market050207 economicsReal interest ratemedia_commondescription
ABSTRACTThis article studies the sensitivity of the US stock market to nominal and real interest rates and inflation during the 2003–2013 period using quantile regression (QR). The empirical results show that the stock market has a significant sensitivity to changes in interest rates and inflation and finds differences across sectors and over time. Moreover, the effect of changes in both interest rates and inflation tends to be more pronounced during extreme market conditions, thus distinguishing expansion periods from recession periods.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2016-01-05 | Applied Economics |