Stock Return Predictability and The Role of Monetary Policy
研究货币政策立场变化能否解释超额股票收益的可预测性，发现货币政策变量能显著预测未来收益，但不能完全解释可预测性。
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).