Monetary policy communication, policy slope, and the stock market

• 成果类型: Article
• 署名作者: Neuhierl, Andreas; Weber, Michael
• 署名单位: University of Notre Dame; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.005
• 发表日期: 2019
• 页码: 140-155
• 关键词: Policy speeches; Macro news; Return predictability; Expected returns

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. (C) 2019 Elsevier B.V. All rights reserved.