Monetary Policy and the Stock Market: Time-Series Evidence / Andreas Neuhierl, Michael Weber.

Format:

Book

Author/Creator:

Neuhierl, Andreas.

Contributor:

National Bureau of Economic Research.

Weber, Michael (Professor of finance)

Series:

Working Paper Series (National Bureau of Economic Research) no. w22831.

NBER working paper series no. w22831

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Monetary Policy and the Stock Market

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2016.

Summary:

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.

Notes:

Print version record

November 2016.