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Discount Factors and Monetary Policy: Evidence from Dual-Listed Stocks / Quentin Vandeweyer, Minghao Yang, Constantine Yannelis.
- Format:
- Book
- Author/Creator:
- Vandeweyer, Quentin.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w32499.
- NBER working paper series no. w32499
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2024.
- Summary:
- This paper studies the transmission of monetary policy to the stock market through investors' discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China, and thereby control for revisions in cash-flow expectations. We find this channel to be strong and asymmetric, with the effect driven by surprise monetary policy interest rate cuts. A 100 basis point surprise cut results in a 30 basis point increase in the ratio of stock prices over 5 days. These results suggest significant slow-moving reductions in stock market risk premia following accommodating monetary policy surprises.
- Notes:
- Print version record
- May 2024.
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