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The Financial Crisis Impact: An Industry Level Analysis Of The Us Stock Market González

Author

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  • María de la O
  • Francisco JAREÑO, Francisco
  • SKINNER, Frank S.

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).

Suggested Citation

  • María de la O & Francisco JAREÑO, Francisco & SKINNER, Frank S., 2017. "The Financial Crisis Impact: An Industry Level Analysis Of The Us Stock Market González," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 17(2), pages 61-74.
    • Handle: RePEc:eaa:aeinde:v:17:y:2017:i:2_5
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    References listed on IDEAS

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    Cited by:

    1. Francisco JAREÑO & Marta TOLENTINO & María de la O GONZÁLEZ, 2018. "The Us Stock Market At Sector Level: Inflation News, 1990-2013," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 18(1), pages 73-86.
    2. Serhiy Zabolotnyy & Mirosław Wasilewski, 2019. "The Concept of Financial Sustainability Measurement: A Case of Food Companies from Northern Europe," Sustainability, MDPI, vol. 11(18), pages 1-16, September.
    3. González, María de la O & Jareño, Francisco, 2019. "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 188-204.

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    More about this item

    Keywords

    Unexpected inflation; interest rates; Stock return; Business Cycle.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G3 - Financial Economics - - Corporate Finance and Governance
    • L2 - Industrial Organization - - Firm Objectives, Organization, and Behavior

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