Purpose

Considering the relationship between the central bank balance sheet and unconventional monetary policy after the 2008 financial crisis, it is crucial to see how the unconventional monetary policy, given near-zero interest rates, affects future stock market performance. This paper analyzes the impact of the Fed's balance sheet size on stock market performance.

Design/methodology/approach

To analyze the Fed's balance sheet size's long-term stock market implications, this paper uses the asset pricing framework of market return predictability such as Ordinary least squares (OLS) and Generalized method of moments (GMM) analysis.

Findings

Findings in this paper suggest that the Fed's balance sheet size, deflated by asset market wealth, presents evidence of return predictability during 1926–2015 that is robust against standard controls. These results can be explained through the redistribution of risk and the wealth channels of monetary policy transmission. The changing balance sheet size of a central bank (1) affects systemic risk, yields and expectations and (2) signals the future direction of monetary policy and thus economic outlook.

Research limitations/implications

The main implication of these findings is that policymakers should avoid a severe imbalance between a central bank's balance sheet size and assets market wealth.

Originality/value

The empirical evidence in this paper documents a century-old relation between the Fed's balance sheet size and US stock market return using the Fed's balance sheet data for the last 100 years and stock market returns from the Center for research in security prices (CRSP) database.

中文翻译：

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美联储资产负债表规模对股市的影响

目的

考虑到 2008 年金融危机后央行资产负债表与非常规货币政策之间的关系，在利率接近于零的情况下，了解非常规货币政策如何影响未来股市表现至关重要。本文分析了美联储资产负债表规模对股市表现的影响。

设计/方法/方法

为了分析美联储资产负债表规模对股市的长期影响，本文采用了普通最小二乘法（OLS）和广义矩量法（GMM）分析等市场收益可预测性的资产定价框架。

发现

本文的研究结果表明，美联储的资产负债表规模（因资产市场财富而缩减）提供了 1926-2015 年间回报可预测性的证据，这在标准控制下是稳健的。这些结果可以通过风险再分配和货币政策传导的财富渠道来解释。中央银行不断变化的资产负债表规模（1）影响系统性风险、收益率和预期，（2）预示着货币政策的未来方向和经济前景。

研究限制/影响

这些发现的主要含义是，政策制定者应避免中央银行资产负债表规模与资产市场财富之间的严重失衡。

原创性/价值

本文中的经验证据使用美联储过去 100 年的资产负债表数据和证券价格研究中心 (CRSP) 数据库的股票市场回报，记录了美联储资产负债表规模与美国股市回报之间的百年关系.