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

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).