We use a multi-factor asset pricing model to investigate whether fluctuations in industry stock returns are due to industry stock returns are due to industry-specific shocks or to monetary and other macroeconomic factors. We find that common factors explain a substantial portion of the variation...

Bond prices plummeted in early 1994. These losses occurred while the Fed was raising interest rates. John Y. Campbell argues that the Fed could have triggered the losses either by communicating information about incipient inflation or by increasing uncertainty about monetary policy and thus...

Financial economists have long debated whether monetary policy is neutral. This paper addresses this question by examining how stock return data respond to monetary policy shocks. Monetary policy is measured by innovations in the federal funds rate and nonborrowed reserves, by narrative...