What Explains the Stock Market's Reaction to Federal Reserve Policy?
分析货币政策变化对股票价格的影响，测量股市平均反应并理解其经济来源。研究发现，联邦基金利率目标意外下调25个基点平均使大盘指数上涨约1%，且预期超额收益的变化是股价反应的主要来源。
ABSTRACT This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25‐basis‐point cut in the Federal funds rate target is associated with about a 1% increase in broad stock indexes. Adapting a methodology due to Campbell and Ammer, we find that the effects of unanticipated monetary policy actions on expected excess returns account for the largest part of the response of stock prices.