Monetary transmission and portfolio rebalancing: A cross-sectional approach

• 成果类型: Article
• 署名作者: Lu, Xu; Wu, Lingxuan
• 署名单位: University of Washington; University of Washington Seattle; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104324
• 发表日期: 2026-09
• 页码: 104324
• 关键词: Monetary policy; Portfolio rebalancing; Rebalancing timing; Inelastic markets; term interest-rates; risk-taking; price; demand; target; POLICY; INFORMATION; sensitivity; volatility; duration

摘要

We show that institutional portfolio rebalancing across asset classes plays a key role in transmitting monetary shocks to the stock market. Around FOMC announcements, ceteris paribus, a stock with 10-percentage-point higher ownership by rebalancing institutions experiences an additional 3.7-basis-point loss following a 10-basis-point surprise rate hike. We corroborate our mechanism by exploiting within-firm variations for dual shares, showing stronger price reactions at quarter-and month-ends when rebalancing is more imminent, and presenting placebo tests contrasting rebalancing institutions with other institutions. A concluding calibration suggests rebalancing could contribute roughly one-third to two-thirds of the aggregate stock market excess return response to monetary shocks.