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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
CESifo Working Paper No. 11305
Verlag: 
CESifo GmbH, Munich
Zusammenfassung: 
We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new model-free method that uses dividend futures prices to obtain the counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates, as measured by changes in professional forecasts, and partly a change in the term premium. We further find that the even/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity premium.
Schlagwörter: 
monetary policy
equity premium
yield curve
dividend futures
term premium
JEL: 
G12
E52
Dokumentart: 
Working Paper
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