Monetary policy communication, policy slope, and the stock market
从不同期限的联邦基金期货变化中提取斜率因子，发现其能预测周度股票收益，且与FOMC成员讲话语气相关，表明利率路径对资产价格有持续影响。
The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and predicts changes in interest rates and forecast revisions of professional forecasters. The tone of speeches by FOMC members correlates with the slope factor. The predictive power concentrates in times of high uncertainty in line with the pre-FOMC announcement drift. Our findings show the path of interest rates matters for asset prices, and monetary policy affects asset prices continuously.