Unformatted text preview: from October 1972 through April, 1996.
In addition, the consumer price index (CRBX) is also available from December, 1986 4 through January, 1996. However, the CRBX data is not used for this project. The help of
Prof. Porter from the University of Washington’s Applied Physics Laboratory in
making the data readily available is gratefully acknowledged.
It is proven as seen from the performance of the Zweig model that a rise in interest rates
generally reduces stock prices and vice versa. This may not hold true if the momentum of
the market opposes the effect of the interest rate change. To analyze the effect of interest
rates, the cross-correlation between the long term interest rate, delayed by 53 weeks and
the S&P500 index was obtained using xcorr() in MATLAB. Since, the whole time series
was used, the results gave the cross-correlation for various delays. Similarly, the crosscorrelation between the short-term interest rate and the index is also obtained.
To get some logical output from such a c...
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This note was uploaded on 07/20/2012 for the course ECON 203 taught by Professor Girishdev during the Spring '12 term at Indian Institute of Technology, Kharagpur.
- Spring '12