货币不确定性对股票市场对宏观经济消息反应的影响
Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News
摘要：
本文研究了宏观经济新闻公告对股票市场的影响。股票对主要MNA表现出强烈的积极反应：MNA意外的1个标准差导致11-25个基点的高回报。这种反应是高度随时间变化的，在货币高度不确定的时期较弱。我将这种反应分解为现金流和无风险利率渠道。良好的MNA意外的1个标准差导致现金流渠道的回报率为正30个基点，而无风险利率渠道的货币不确定性为负23个基点。无风险利率通道是时变的，当货币不确定性高时，无风险利率通道更强。高度的货币不确定性掩盖了股票对多边核方案的强烈积极反应，这解释了为什么过去的研究未能发现这种关系。
英文摘要：
This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is highly time-varying and is weaker during periods of high monetary uncertainty. I decompose this response into cash flow and risk-free rate channels. 1 standard deviation of good MNA surprise leads to plus 30 bps returns from the cash flow channel and minus 23 bps per 1\% of monetary uncertainty from the risk-free rate channel. Risk-free rate channel is time-varying and is stronger when monetary uncertainty is high. High levels of monetary uncertainty mask the strong positive response of stocks to MNA, which explains why past research failed to detect this relation.
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