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Monetary Policy Slope and the Stock Market
Neuhierl, Andreas - 2018
We construct a slope factor from changes in federal funds futures of different horizons. A positive slope signals faster monetary policy tightening and predicts negative excess returns at the weekly frequency. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012935261
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
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Monetary Momentum
Neuhierl, Andreas - 2020
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10012853827
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Monetary Momentum
Neuhierl, Andreas - 2017
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10012946927
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Monetary momentum
Neuhierl, Andreas; Weber, Michael - 2017 - This version: August 2017
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10011721601
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Monetary Policy Communication, Policy Slope, and the Stock Market
Neuhierl, Andreas - 2019
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...
Persistent link: https://www.econbiz.de/10012903509
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Monetary Policy and the Stock Market : Time-Series Evidence
Neuhierl, Andreas - 2017
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931
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Households' response to the wealth effects of inflation
Schnorpfeil, Philip; Weber, Michael; Hackethal, Andreas - 2024
We study the redistributive effects of surprise inflation combining administrative bank data with an information … provision experiment during an episode of historic inflation. On average, households are well-informed about prevailing … inflation and are concerned about its impact on their wealth; yet, while many households know about inflation eroding nominal …
Persistent link: https://www.econbiz.de/10014490357
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Inclusive monetary policy : how tight labor markets facilitate broad-based employment growth
Bergman, Nittai K.; Matsa, David A.; Weber, Michael - 2022
the employment of less attached workers when the central bank follows an average inflation targeting rule and when the … strict to an average inflation targeting framework especially benefits workers with lower labor force attachment. …
Persistent link: https://www.econbiz.de/10012798170
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Monetary policy through production networks : evidence from the stock market
Ozdagli, Ali; Weber, Michael - 2017 - This version: May 2017
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10011657891