The Fed and the Stock Market: An Identification Based on Intraday Futures Data
提出一种新方法，利用高频期货数据识别货币政策与股票市场之间的同期关系，发现利率收紧会压低股价，而美联储也会对股市波动做出显著反应。
This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates and stock returns. We find that a tightening in policy rates has a negative impact on stock prices and that the Federal Reserve (Fed) has responded significantly to movements in the stock market. Estimates are robust to various model specifications.