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Discount factors and monetary policy: Evidence from dual-listed stocks

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  • Vandeweyer, Quentin
  • Yang, Minghao
  • Yannelis, Constantine

Abstract

This paper studies the transmission of monetary policy to the stock market through investors’ discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China. We identify a strong discount rate channel driven exclusively by cycle-amplifying surprises, defined as rate cuts during easing cycles and surprise hikes during tightening cycles. A 100 basis point of such cycle-amplifying surprise induces a 30 basis point change in the price ratio within five days.

Suggested Citation

  • Vandeweyer, Quentin & Yang, Minghao & Yannelis, Constantine, 2026. "Discount factors and monetary policy: Evidence from dual-listed stocks," Journal of Financial Economics, Elsevier, vol. 175(C).
    • Handle: RePEc:eee:jfinec:v:175:y:2026:i:c:s0304405x25001989
    DOI: 10.1016/j.jfineco.2025.104190
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