The behaviour of stock returns and interest rates over the business cycle in the US and UK
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 8 (2001)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jacobsen, Ben & Marquering, Wessel, 2008. "Is it the weather?," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 526-540, April.
- Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.