The 26th Frontier Forum for Digital Technology and Finance

Abstract：

The federal funds rate negatively predicts excess equity market returns because of its dependence on inflation and unemployment. The novel findings lend compelling support to recent monetary asset pricing models and unequivocally validate Fed Chair Jerome Powell’s view: Our policy actions work through financial conditions. And those, in turn, affect economic activity, the labor market, and inflation. Formal variable selection analyses identify monetary policy as a crucial equity premium determinant together with the two most prominent asset pricing state variables, market price multiples and variance. The selected model has stable predictive power and outperforms popular statistical models, including machine learning. 

Speaker Introduction:

Hui Guo is a professor of finance at the University of Cincinnati, a Briggs Swift Cunningham Professor, and the director of the doctoral program in finance. He holds a Ph.D. in financial economics from New York University. He has published dozens of papers in top international academic journals such as JF, RFS, JFQA, JAR, CAR, JMCB, and has served as a reviewer for nearly 40 top international academic journals such as AER, JPE, JF, JFE, RFS, and others.