In this study, we explore the interdependence among different US industries by examining their correlations of the stock portfolios. Furthermore, we focus on the dynamics of their interdependent relations during peaceful and volatile periods; as such relations may change due to different sensitivities of each industry to the macroeconomic conditions. More specifically, we apply Vector Autoregression (VAR) methodology on the US industry portfolios and we use variance decomposition and generalized impulse response functions to identify the strength of the impact of each industry on the others. Based on different portfolio returns of the US industries during 1962 to 2008, we find if the pattern of the dynamic relations of the industries change in different periods. We also deduce the most influential and sensitive sectors in the US domestic market. In addition, we find the direction, strength and durability of the shocks using generalized impulse response function (GIRF).

Creator

• Dutta Bordoloi, Suwodi

Mitwirkende

• Vermes, Domokos
• Zhao, Wanli

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-102809-101445

Stichwort

• VaR
• Interdependence

Advisor

• Vermes, Domokos
• Zhao, Wanli

Defense date

• 2009-12-04

Year

• 2009

Date created

• 2009-10-28

Resource type

• Report

Rights statement

• In Copyright