美联储对股市的影响：规模、渠道和冲击

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online) The Effect of the Federal Reserve on the Stock Market:Magnitudes, Channels and Shocks Benjamin Knox, Annette Vissing-Jorgensen 2026-023 Please cite this paper as:Knox, Benjamin, and Annette Vissing-Jorgensen (2026). “The Effect of the Federal Reserveon the Stock Market:Magnitudes, Channels and Shocks,” Finance and Economics Dis-cussion Series 2026-023. Washington: Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2026.023. NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or the The Effect of the Federal Reserve on the Stock Market:Magnitudes, Channels and Shocks Benjamin Knox and Annette Vissing-JorgensenAugust 25, 2025 We survey and extend work on the Federal Reserve’s effect on the stock market, focusing on threeempirical findings: The effect of monetary policy surprises in a narrow window around announcementsfrom the Federal Open Market Committee (FOMC), the pre-FOMC announcement drift, and theFOMC cycle in stock returns. We discuss themagnitudeof the Fed’s impact (directional effects oreffects on average stock returns), the types ofshockscoming from the Fed (pure monetary policyshocks, reaction function news, or information about the Fed’s view of the economy), and theassetpricing channelsthrough which effects emerge (an equity premia for news from the Fed, or changesto yields, equity premia, or expected dividends). We also consider theinformation transmission DISCLAIMER: The views expressed herein are those of the authors; they do not reflect those of the FederalReserve Board or the Federal Reserve System. 1.Introduction How much does the Federal Reserve affect the stock market? Through which mechanisms do effects emerge? Thesequestions are classic issues in both monetary policy and asset pricing. While the ultimate objectives of the Federal Reserveare price stability and full employment, monetary policy works by affecting financial conditions, including the stockmarket, bond yields, borrowing conditions, and exchange rates. Understanding the strength of and mechanismsunderlying these relations is at the heart of monetary policy transmission. Furthermore, any effect of policy on the stockmarket may be indicative of real effects of monetary policy (e.g.,Thorbecke 1997). As for asset pricing, active investors We organize our review around three empirical findings: (a) the effect of short-rate surprises on the market in a narrow half-hour window around FOMC announcements; (b) stock returns in the hours leading up to scheduled FOMC announcements(pre-FOMC announcement effects); and (c) patterns of stock returns between FOMC meetings (stock returns over theFOMC cycle). The literature on the narrow window is about directional effects of monetary policy surprises. The newerliterature on facts (a) and (b) documents that monetary policy also appears to have had large positive effects even on averagestock returns over long periods. To confine the task at hand, we focus on the effects of monetary policy on the overall 2.Framework Before turning to empirical evidence, we lay out a framework for understanding the Federal Reserve’s potential effects onthe stock market. We first explain the traditional approach to estimate the effect of monetary policy shocks on stock prices.We then discuss the potential sources of these shocks through a simple Taylor rule framework, the asset pricing channels 2.1The Monetary Shock Multiplier A common approach to estimating the effect of monetary policy shocks on the stock market is a high-frequency eventstudy. Researchers study the effect of interest rate surprises on the marketin a narrow window around FOMC t𝑟𝑟𝑡𝑡𝑚𝑚=𝑎𝑎+𝑏𝑏∆𝑖𝑖𝑡𝑡𝑢𝑢+𝜀𝜀𝑡𝑡(1)where𝑟𝑟𝑡𝑡𝑚𝑚is the realized market return,∆𝑖𝑖𝑡𝑡𝑢𝑢measures the unexpected part of the interest rate change around theannouncement, and b is what one could refer to as a monetary policy shock “multiplier.” A positive monetary policyshock (∆𝑖𝑖𝑡𝑡𝑢𝑢> 0) is predicted to lower the value of the stock market (b < 0). This could happen via the monetary policyshock inducing higher yields, higher equity premia, or lower expected dividends. The underlying premise is that pricesare sticky in the short run, so a change in the nominal policy rate translates to a change in the short real rate. 2.2Types of Monetary Policy Shocks A simple Taylor rule framework implies that the monetary policy shock can take three forms: pure monetary policyshocks (Taylor rule error terms), news about the Fed’s reaction function (including its inflation target), and news about the Fed’s view of the economy (the output gap,inflation gap, or the natural real rate of interest𝑟𝑟𝑡