  In this empirical paper we show that in the months following a crash there is
a distinct connection between the fall of stock prices and the increase in the
range of interest rates for a sample of bonds. This variable, which is often
referred to as the interest rate spread variable, can be considered as a
statistical measure for the disparity in lenders' opinions about the future; in
other words, it provides an operational definition of the uncertainty faced by
economic agents. The observation that there is a strong negative correlation
between stock prices and the spread variable relies on the examination of 8
major crashes in the United States between 1857 and 1987. That relationship
which has remained valid for one and a half century in spite of important
changes in the organization of financial markets can be of interest in the
perspective of Monte Carlo simulations of stock markets.
