| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22831 |
| 来源ID | Working Paper 22831 |
| Monetary Policy and the Stock Market: Time-Series Evidence | |
| Andreas Neuhierl; Michael Weber | |
| 发表日期 | 2016-11-14 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and predicts changes in interest rates and forecast revisions of professional forecasters. The tone of speeches by FOMC members correlates with the slope factor. The predictive power concentrates in times of high uncertainty in line with the pre-FOMC announcement drift. Our findings show the path of interest rates matters for asset prices, and monetary policy affects asset prices continuously. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w22831 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580505 |
| 推荐引用方式 GB/T 7714 | Andreas Neuhierl,Michael Weber. Monetary Policy and the Stock Market: Time-Series Evidence. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22831.pdf（707KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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