数字技术与经济金融前沿论坛（第26期）

摘要：

     The federal funds rate negatively predicts excess equity market returns because of its dependence on inflation and unemployment. The novel findings lend compelling support to recent monetary asset pricing models and unequivocally validate Fed Chair Jerome Powell’s view: Our policy actions work through financial conditions. And those, in turn, affect economic activity, the labor market, and inflation. Formal variable selection analyses identify monetary policy as a crucial equity premium determinant together with the two most prominent asset pricing state variables, market price multiples and variance. The selected model has stable predictive power and outperforms popular statistical models, including machine learning. 

主讲人介绍：

     郭晖，辛辛那提大学金融学教授、Briggs Swift Cunningham讲席教授、金融系博士项目负责人，纽约大学金融经济学博士。目前已在JF、RFS、JFQA、JAR、CAR、JMCB等国际顶级学术期刊发表论文数十篇，担任AER、JPE、JF、JFE、RFS等近四十余种国际顶级学术期刊的审稿人。