We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the policy rate than what is implied by their underlying fundamentals. This systematic overreaction suggests that tighter monetary policy may contain emerging asset price misalignments. Our findings are at odds with the predictions of a rational bubble framework, but can be explained by mispricing arising from false subjective expectations of irrational investors.

中文翻译：

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货币政策和股票市场定价错误

我们研究货币政策在股价失调中的作用，并探讨央行是否可以像“逆风”货币政策的支持者所建议的那样，减少过度定价错误。将股价分解为预期超额股息、股票风险溢价和错误定价成分，我们发现价格对政策利率上升的反应比其基本面所暗示的下跌更为强烈。这种系统性的过度反应表明，紧缩的货币政策可能会遏制新出现的资产价格失调。我们的研究结果与理性泡沫框架的预测不一致，但可以用非理性投资者错误的主观预期引起的错误定价来解释。