Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed?
研究发现，2007-2008年金融危机期间，日常事件研究法估计的货币政策对股市的影响存在严重偏差，甚至导致利率下降对股市是坏消息的错误结论，并分析了零利率下限时期的股市反应。
Most studies of the effect of monetary policy on asset prices use the event study methodology with daily data. The resulting estimates suffer from bias due to omitted variables and endogeneity of policy decisions. We provide evidence that this bias becomes so large during the 2007–2008 financial crisis that it reverses the sign of the estimated stock market response to monetary news, leading to an erroneous conclusion that interest rate cuts are bad news for stocks. We also examine the stock market reaction to monetary policy during the zero lower bound period. The results show a significant bias in daily event study estimates of the stock market response to news about the future path of monetary policy. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:1210–1230, 2016