Movements in Yields, not the Equity Premium: Bernanke-Kuttner Redux

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

我们的研究表明，联邦公开市场委员会（Federal Open Market Committee, FOMC）公告发布后，股市对货币政策意外冲击的价格反应，主要由无违约收益率期限结构的变动所解释，而非股权溢价的变动。这一结论基于一个全新的模型得出。