Discount factors and monetary policy: Evidence from dual-listed stocks

• 成果类型: Article
• 署名作者: Vandeweyer, Quentin; Yang, Minghao; Yannelis, Constantine
• 署名单位: University of Chicago; University of California System; University of California Berkeley; University of Cambridge
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104190
• 发表日期: 2026-01
• 页码: 104190
• 关键词: Monetary policy transmission; Stock market; Discount factor channel; MARKET; RISK; duration; returns; demand; shocks

摘要

This paper studies the transmission of monetary policy to the stock market through investors' discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China. We identify a strong discount rate channel driven exclusively by cycle-amplifying surprises, defined as rate cuts during easing cycles and surprise hikes during tightening cycles. A 100 basis point of such cycle-amplifying surprise induces a 30 basis point change in the price ratio within five days.