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US stock market sensitivity to interest and inflation rates: a quantile regression approach

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  • Francisco Jareño
  • Román Ferrer
  • Stanislava Miroslavova

Abstract

This 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.

Suggested Citation

  • Francisco Jareño & Román Ferrer & Stanislava Miroslavova, 2016. "US stock market sensitivity to interest and inflation rates: a quantile regression approach," Applied Economics, Taylor & Francis Journals, vol. 48(26), pages 2469-2481, June.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:26:p:2469-2481
    DOI: 10.1080/00036846.2015.1122735
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    1. repec:cup:cbooks:9781107034662 is not listed on IDEAS
    2. Brooks,Chris, 2014. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9781107661455, December.
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