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dc.contributor.authorAndreou, Elenaen
dc.contributor.authorDesiano, Ritaen
dc.contributor.authorSensier, Marianneen
dc.creatorAndreou, Elenaen
dc.creatorDesiano, Ritaen
dc.creatorSensier, Marianneen
dc.date.accessioned2019-05-03T05:21:45Z
dc.date.available2019-05-03T05:21:45Z
dc.date.issued2001
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47073
dc.description.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.en
dc.language.isoengen
dc.sourceApplied Economics Lettersen
dc.subjectUnited Kingdomen
dc.subjectUnited Statesen
dc.subjectbusiness cycleen
dc.subjectinterest rateen
dc.subjectnational tradeen
dc.subjectstock marketen
dc.titleThe behaviour of stock returns and interest rates over the business cycle in the US and UKen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1080/135048501750103935
dc.description.volume8
dc.description.startingpage233
dc.description.endingpage238
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.description.totalnumpages233-238


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