This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and...

A large literature uses high-frequency changes in interest rates around FOMC announcements to study monetary policy. These yield changes have puzzlingly low explanatory power for the stock market - even in a narrow 30-minute window. We propose a new approach to test whether the unexplained...

This study utilizes a macro-based VAR framework to investigate whether stock portfolios formed on the basis of their value, size and past performance characteristics are affected in a differential manner by unexpected US monetary policy actions during the period 1967-2007. Full sample results...

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...

This paper estimates the effect of monetary policy on the term structure of stock market risk premia. Stock market risk premia are solved using analysts’ dividend forecasts and dividend future prices. Although risk-free rates have decreased after the global financial crisis, the results...

This paper estimates the effect of monetary policy on the term structure of stock market risk premia. Stock market risk premia are solved using analysts’ dividend forecasts and dividend future prices. Although risk-free rates have decreased after the global financial crisis, the results...

This paper estimates the effect of monetary policy on the term structure of stock market riskpremia. The implied stock market risk premia are obtained using analysts’ dividend forecastsand dividend future prices. The effect of monetary policy on risk premia is analysed using localprojections...

This paper estimates the effect of the European Central Banks's monetary policy on the term structure of expected stock market risk premia. Expected stock market premia are solved using analysts' dividend forecasts, the Eurostoxx 50 stock index and Eurostoxx 50 dividend futures. Although...

The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for the volatility of big firms, profitable firms and past...

We investigate both theoretically and empirically how unemployment level and its growth affect future stock returns. We find that both a higher unemployment rate and higher growth of unemployment positively predict future stock market returns. In our model, the effects come through their...