Abstract
We introduce taxi ridership between the Federal Reserve Bank of New York and large financial institutions with major presences in New York City as a proxy for Fed activity. A market-timing strategy that buys the market portfolio (risk-free asset) when lagged Fed-bank ridership is low (high) earns a 50% larger Sharpe ratio than the market portfolio. The strategy’s superior performance is concentrated around FOMC meetings and Fed-primary dealer interactions. Collectively, our findings are consistent with a monetary policy channel whereby Fed-bank interactions increase when one of the parties possesses monetary policy-related information that will ultimately adversely affect stock prices.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
