米国金融政策が株価に与える影響は？
In the minutes of the FOMC from December 14–15 last year,
(1) The Fed indicated that a rapid pace of policy rate normalization might be warranted to prevent overheating of an economy near full employment amid high inflation.
From March onward, a scenario of a 0.25 percentage point rate hike every three months is expected, but a single 0.5 percentage point hike is also possible.
There may also be two consecutive rate hikes in a row.
(2) Regarding the timing of Federal Reserve balance sheet reduction, it was considered more likely to occur closer to the start of rate hikes than in past episodes.
In the previous rate-hike cycle, it took about two years from the start of rate hikes to balance sheet normalization. However, the latest minutes indicate that some officials believe it could be appropriate to begin shrinking the Fed's balance sheet relatively soon after the start of rate hikes.
As a result, stock indices fell and U.S. Treasury yields rose. The market-implied probability of a March rate hike rose to about 67%.
So, what is the impact of rate hikes and quantitative tightening on stock prices?
(A) Relative to bonds, equities become less attractive.
(B) The same as above, but in the Dividend Discount Model (DDM), the current theoretical stock price falls.
(C) Companies’ borrowing costs rise, reducing corporate earnings.
(D) Households face higher borrowing costs, which restrains consumption, worsening the economy—hence corporate earnings decline.
We will quantitatively examine this to forecast future stock prices. The results are as follows.
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