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摘要翻译：
利用最近引入的一种量化对经济时间序列之间时变超前-滞后依赖关系的方法（热最优路径法），我们检验了固定收益理论的两个基本原理：（一）股票市场的变化与收益率的变化应该是反相关的；(ii)中央银行利率的变动，作为中央银行货币政策的代表，应可预测未来股市的方向。利用月度和每周数据，我们发现标准普尔500股票市场指数与两组债券收益率之间非常相似的领先滞后关系：短期债券收益率（联邦基金利率(FFR)、3M、6M、1Y、2Y和3Y)和长期债券收益率(5Y、7Y、10Y和20Y)。在所有情况下，我们观察到(i)和(ii)的反面。首先，股市和收益率的走势是一致的。其次，股票市场主导着收益率，包括特别是FFR。此外，我们还发现，在2007年年中开始的金融危机之前，第一组的短期收益率领先于第二组的长期收益率，在金融危机之后，这种反比关系仍然存在。这些结果表明，美联储越来越关注股市行为，股市行为被视为经济复苏和健康的关键。在金融危机开始后，长期投资者似乎也比美联储本身更容易反应和注意金融股票市场提供的信号。传统的滞后相关分析证实了标准普尔500指数对所有期限债券收益率的领先性。
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英文标题：
《The US stock market leads the Federal funds rate and Treasury bond
yields》
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作者：
Kun Guo (CAS), Wei-Xing Zhou (ECUST), Si-Wei Cheng (CAS), Didier
Sornette (ETH Zurich)
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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英文摘要：
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we found very similar lead-lag dependence between the S&P500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including and especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen at key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the S&P500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis.
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PDF链接：
https://arxiv.org/pdf/1102.2138
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