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STUDY OF THE US STOCK MARKET SENSITIVITY USING A QUANTILE REGRESSION APPROACH
Abstract
This paper studies the level of sensitivity of the US stock market to nominal interest rates for the period 2003-2013 using quantile regression. The empirical results show that the stock market has a significant sensitivity to changes in interest rates and finds differences across sectors and over time. Moreover, the effect of changes in the interest rates tends to be more pronounced during extreme market conditions, thus distinguishing expansion periods from recession periods.
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