On Stock Market Returns and Monetary Policy
通过分析股票回报数据对货币政策冲击的反应，检验货币政策是否中性。研究发现扩张性政策会提高事后股票回报，且货币政策风险暴露会提升资产的预期回报。
Financial economists have long debated whether monetary policy is neutral. This article addresses this question by examining how stock return data respond to monetary policy shocks. Monetary policy is measured by innovations in the federal funds rate and nonborrowed reserves, by narrative indicators, and by an event study of Federal Reserve policy changes. In every case the evidence indicates that expansionary policy increases ex-post stock returns. Results from estimating a multi-factor model also indicate that exposure to monetary policy increases an asset's ex-ante return.