Stock Return Predictability and The Role of Monetary Policy
研究货币政策立场的转变能否解释超额股票收益的可预测性，发现货币政策变量是未来收益的重要预测因子，但不能完全解释可预测性。
ABSTRACT This article examines whether shifts in the stance of monetary policy can account for the observed predictability in excess stock returns. Using long‐horizon regressions and short‐horizon vector autoregressions, the article concludes that monetary policy variables are significant predictors of future returns, although they cannot fully account for observed stock return predictability. I undertake variance decompositions to investigate how monetary policy affects the individual components of excess returns (risk‐free discount rates, risk premia, or cash flows).