论文标题
货币不确定性是股票市场对宏观经济新闻的反应的决定因素
Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News
论文作者
论文摘要
本文研究了宏观经济新闻公告（MNA）对股票市场的影响。对主要MNA的股票表现出强烈的积极反应：1 MNA惊喜的标准偏差会导致11-25 bps的回报率更高。这种反应是高度时间变化的，在高货币不确定性期间较弱。我将此响应分解为现金流和无风险费率渠道。 1良好MNA惊喜的标准偏差会导致现金流通渠中的30个基点的回报，而每1 \％的货币不确定性为无风险费率渠道的每1 \％。无风险费率通道是随时间变化的，当货币不确定性很高时，更强大。高水平的货币不确定性掩盖了股票对MNA的强烈积极反应，这解释了为什么过去的研究未能检测到这种关系。
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.
