The Fed and the stock market: A tale of sentiment states
研究了零利率下限前投资者情绪如何影响货币政策对股市的传导，发现情绪驱动的估值过高后出现修正时，联邦基金利率意外变动对股市影响最大。
We analyze the period before the zero lower bound and show that the state of investor sentiment strongly affects the transmission of monetary policy to the stock market. The impact of Federal funds rate (FFR) surprises is mostly potent when sentiment-driven overvaluation is followed by a correction, whereby the stock market increases by 0.8% in response to an unexpected FFR cut of 10 basis points. Our findings suggest that monetary easing surprises during sentiment-waning phases boost the stock market by alleviating investors’ fear. The ability of sentiment to drive the observed state dependence is hard to reconcile with rational pricing.