Monetary Policy and the Stock Market: Time-Series Evidence
NBER WORKING PAPER SERIES MONETARY POLICY AND THE STOCK MARKET: TIME-SERIES EVIDENCE Andreas Neuhierl Michael Weber Working Paper 22831 http://www.nber.org/papers/w22831 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 November 2016 We thank Christiane Baumeister, John Campbell, Geroge Constantinides, Yuriy Gorodnichenko, Alex Kostakis (discussant), Emanuel Moench, Stijn Van Nieuwerburgh, Ali Ozdagli, Lubos Pastor, Josh Pollet (discussant), Bernd Schlusche, Volker Seiler (discussant) and seminar participants at the 2016 Commodities Markets Conference, the 2016 Wabash River Conference, and the European Finance Association Annual Meeting 2016 for valuable comments. Weber gratefully acknowledges financial support from the University of Chicago, the Neubauer Family Foundation, and the Fama-Miller Center. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications. © 2016 by Andreas Neuhierl and Michael Weber. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source. Monetary Policy and the Stock Market: Time-Series Evidence Andreas Neuhierl and Michael Weber NBER Working Paper No. 22831 November 2016 JEL No. E31,E43,E44,E52,E58,G12 ABSTRACT We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns.
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