Discount factors and monetary policy: Evidence from dual-listed stocks

IF 8.8 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2026-01-01 Epub Date: 2025-11-08 DOI:10.1016/j.jfineco.2025.104190

Quentin Vandeweyer , Minghao Yang , Constantine Yannelis

引用次数: 0

Abstract

This paper studies the transmission of monetary policy to the stock market through investors’ discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China. We identify a strong discount rate channel driven exclusively by cycle-amplifying surprises, defined as rate cuts during easing cycles and surprise hikes during tightening cycles. A 100 basis point of such cycle-amplifying surprise induces a 30 basis point change in the price ratio within five days.

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贴现因素与货币政策：来自两地上市股票的证据

本文研究了货币政策通过投资者贴现因子对股票市场的传导。为了隔离这一渠道，我们研究了美国货币政策意外对在香港和中国大陆同时上市的同一只股票的价格比率的影响。我们发现了一个强大的贴现率通道，它完全由周期放大的意外驱动，定义为宽松周期期间的降息和紧缩周期期间的意外加息。100个基点的这种周期放大意外导致5天内价格比率变化30个基点。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.