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Common Shocks in Stocks and Bonds / Anna Cieslak, Hao Pang.
- Format:
- Book
- Author/Creator:
- Cieslak, Anna.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w28184.
- NBER working paper series no. w28184
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors' responses to news from the Fed and key macro announcements. We uncover two risk-premium shocks--time-varying compensation for discount-rate and cash-flow news--which have distinct effects on stocks and bonds. Since the mid-1990s, the Fed-induced reductions in both risk premium sources have generated high average stock returns but an ambiguous response in bonds on FOMC days.
- Notes:
- Print version record
- December 2020.
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