Real-time Estimation of Macroeconomic and Interest Rate Expectations:A High-Frequency Identification Method Based on the Interactions Between Bond and Stock Markets
In this paper,we delve into the nexus between the bond and stock markets through the lens of contemporary asset pric-ing theory.Our analysis uncovers four distinct types of shocks in China:economic growth expectation shocks,monetary policy shocks,hedging risk premium factor shocks,and normal risk premium factor shocks.Our empirical findings suggest that the fac-tors associated with economic growth expectations and monetary policy not only align with theoretical predictions but also pos-sess a robust predictive ability for future macroeconomic trends and market interest rates.These factors,therefore,serve as potent indicators of market sentiment towards economic and interest rate prospects,facilitating real-time monitoring of social expecta-tions at a higher frequency.
Economic expectationsMonetary policy expectationsBond and stock market
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