文献类型：期刊文献

英文题名：The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

作者：Guo, Kun[1];Zhou, Wei-Xing[1,2,3,4];Cheng, Si-Wei[1];Sornette, Didier[5,6]

机构：[1]Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing, Peoples R China;[2]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]ETH, Dept Management Technol & Econ, Zurich, Switzerland;[6]Univ Geneva, Swiss Finance Inst, Geneva, Switzerland

年份：2011

卷号：6

期号：8

外文期刊名：PLOS ONE

收录：;WOS:【SSCI(收录号:WOS:000295454200021)，SCI-EXPANDED(收录号:WOS:000295454200021)】；

基金：KG and SWC acknowledge financial support from the Chinese Academy of Sciences Foundation for Planning and Strategy Research (Grant No. 0929015ED2). WXZ acknowledges financial support from the "Shu Guang" project (Grant No. 2008SG29) sponsored by Shanghai Municipal Education Commission and Shanghai Education Development Foundation, the National Natural Science Foundation of China (Grant No. 11075054), and the Fundamental Research Funds for the Central Universities. DS acknowledges financial support from the ETH Competence Center "Coping with crises in complex socio-economic systems" (CCSS) through ETH Research Grant CH1-01-08-2 and ETH Zurich Foundation and ETH Research Grant ETH-31 10-3 "Testing the predictability of financial bubbles and of systemic instabilities." The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.

语种：英文

摘要：Using a recently introduced method to quantify the time-varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P 500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started in mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen as key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P 500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis.