Comment on Monetary Policy Communication, Policy Slope, and the Stock Market by Andreas Neuhierl and Michael Weber

• 成果类型: Editorial Material
• 署名作者: Moench, Emanuel; Stein, Tobias
• 署名单位: Deutsche Bundesbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.020
• 发表日期: 2019
• 页码: 156-161
• 关键词: Return predictability; Central bank communication; Content analysis

摘要

This note discusses the article Monetary Policy Communication, Policy Slope, and the Stock Market by Andreas Neuhierl and Michael Weber. The authors document that the slope of the fed funds futures curve predicts stock returns one week ahead and is correlated with the tone of Fed Board member speeches over the period 1994-2007. We show that this return predictability is restricted to the subsample from 1999 to 2001, with no evidence of predictability outside of this period. We further point out some issues with the proposed measure of monetary policy tone and show that the positive correlation between tone and the fed funds futures slope is driven by two speeches that, when analyzed in detail, do not appear particularly hawkish. (C) 2019 Elsevier B.V. All rights reserved.