Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The US stock market leads the Federal funds rate and Treasury bond
  yields   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.

31
The categories of this paper are: ao-sci
15
The categories of this paper are: nucl-ex
25
The categories of this paper are: patt-sol
35
The categories of this paper are: mtrl-th
26
The categories of this paper are: bayes-an
37
The categories of this paper are: supr-con
11
The categories of this paper are: hep-lat
10
The categories of this paper are: q-bio
21
The categories of this paper are: adap-org
29
The categories of this paper are: funct-an
6
The categories of this paper are: astro-ph
9
The categories of this paper are: nlin
7
The categories of this paper are: hep-th
34
The categories of this paper are: chem-ph
12
The categories of this paper are: nucl-th
18
The categories of this paper are: econ