Stock return predictability and the role of monetary policy

• 成果类型: Article
• 署名作者: Patelis, AD
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb02747.x
• 发表日期: 1997
• 页码: 1951-1972
• 关键词: federal-funds rate; term structure; variance decomposition; BUSINESS CONDITIONS; dividend yields; prices; volatility; time; transmission

摘要

This article examines whether shifts in the stance of monetary policy can account for the observed predictability in excess stock returns. Using long-horizon regressions and short-horizon vector autoregressions, the article concludes that monetary policy variables are significant predictors of future returns, although they cannot fully account for observed stack return predictability. I undertake variance decompositions to investigate how monetary policy affects the individual components of excess returns (risk-free discount rates, risk premia, or cash flows).