标题： 货币不确定性作为股票市场对宏观经济新闻反应的决定因素 显示英文标题

标题： 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（MNA）对股票市场的影响。 股票对主要MNA有强烈的正面反应：MNA意外的1个标准差导致收益高出11-25个基点。 这种反应具有高度的时间变化性，并且在货币政策不确定性较高的时期较弱。 我将这种反应分解为现金流和无风险利率渠道。 好的MNA意外的1个标准差通过现金流渠道带来30个基点的收益，而通过无风险利率渠道每1%的货币政策不确定性带来-23个基点的收益。 无风险利率渠道具有时间变化性，并且在货币政策不确定性较高时更强。 货币政策不确定性的高水平掩盖了股票对MNA的强烈正面反应，这解释了为什么以前的研究未能发现这种关系。 显示英文摘要

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.