The Economics of the Fed Put

• 成果类型: Article
• 署名作者: Cieslak, Anna; Vissing-Jorgensen, Annette
• 署名单位: Duke University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of California System; University of California Berkeley
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa116
• 发表日期: 2021
• 页码: 4045
• 关键词: monetary-policy; credit spreads; FOMC; returns; react

摘要

Since the mid-1990s, negative stock returns comove with downgrades to the Fed's growth expectations and predict policy accommodations. Textual analysis of FOMC documents reveals that policy makers pay attention to the stock market. The primary mechanism is their concern with the consumption wealth effect, with a secondary role for the market predicting the economy. We find little evidence of the Fed overreacting to the market in an ex post sense (reacting beyond the market's effect on growth expectations). Although policy makers are aware that the Fed put could induce risk-taking, moral hazard considerations appear not to significantly affect their decision-making ex ante.