Common shocks in stocks and bonds

• 成果类型: Article
• 署名作者: Cieslak, Anna; Pang, Hao
• 署名单位: Duke University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.008
• 发表日期: 2021
• 页码: 880-904
• 关键词: structural shocks; Federal Reserve; announcements; risk premia; Stock-bond comovement

摘要

We propose an approach to identify 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. (c) 2021 Elsevier B.V. All rights reserved.