On stock market returns and monetary policy

• 成果类型: Article
• 署名作者: Thorbecke, W
• 署名单位: George Mason University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04816.x
• 发表日期: 1997
• 页码: 635-654
• 关键词: federal-funds rate; asset returns; inflation; transmission; announcements; ECONOMY; matter

摘要

Financial economists have long debated whether monetary policy is neutral. This article addresses this question by examining how stock return data respond to monetary policy shocks. Monetary policy is measured by innovations in the federal funds rate and nonborrowed reserves, by narrative indicators, and by an event study of Federal Reserve policy changes. In every case the evidence indicates that expansionary policy increases ex-post stock returns. Results from estimating a multi-factor model also indicate that exposure to monetary policy increases an asset's ex-ante return.