Fearing the Fed: How wall street reads main street ☆

• 成果类型: Article
• 署名作者: Elenev, Vadim; Law, Tzuo-Hann; Song, Dongho; Yaron, Amir
• 署名单位: Johns Hopkins University; Boston College; University of Pennsylvania; Bank of Israel
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103790
• 发表日期: 2024
• 关键词: Cyclical return variation; macroeconomic news announcements; Monetary policy expectations

摘要

We provide strong evidence of a countercyclical sensitivity of the stock market to major macroeconomic announcements. The most notable cyclical variation takes place within expansions: sensitivity is largest early in an expansion and essentially zero late in an expansion. By exploiting the comovement pattern between stocks and bonds around announcements, we show that the stock market sensitivity is large when the cash flow component of news is least offset by news about future risk-free rates. Observed fluctuations in stock sensitivities can be attributed to shifting perceptions of monetary policy responsiveness.