NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Monetary Policy and the Stock Market: Time-Series Evidence

Andreas Neuhierl, Michael Weber

NBER Working Paper No. 22831
Issued in November 2016, Revised in September 2019
NBER Program(s):Asset Pricing Program, Economic Fluctuations and Growth Program, Monetary Economics Program

The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and predicts changes in interest rates and forecast revisions of professional forecasters. The tone of speeches by FOMC members correlates with the slope factor. The predictive power concentrates in times of high uncertainty in line with the pre-FOMC announcement drift. Our findings show the path of interest rates matters for asset prices, and monetary policy affects asset prices continuously.

download in pdf format
   (708 K)

email paper

A non-technical summary of this paper is available in the March 2017 NBER Digest.  You can sign up to receive the NBER Digest by email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w22831

Users who downloaded this paper also downloaded* these:
Gerakos, Linnainmaa, and Morse w22982 Asset Managers: Institutional Performance and Smart Betas
Gilchrist, Schoenle, Sim, and ZakrajŇ°ek w22827 Inflation Dynamics During the Financial Crisis
Brooks, Kaboski, and Li w22947 Growth Policy, Agglomeration, and (the Lack of) Competition
Kahn and Nickelsburg w22830 An Economic Analysis of U.S Airline Fuel Economy Dynamics from 1991 to 2015
Han and Wei w22812 International Transmissions of Monetary Shocks: Between a Trilemma and a Dilemma
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us