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Recent Interactions of Asset Classes with Effective Federal Funds Rate
February 11, 2022 • Posted in Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate
How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFRÂ and look at lead-lag relationships between change in EFFR and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:
- Equities:
- Bonds:
- Real assets:
Using monthly EFFR and monthly dividend-adjusted prices for the 10 specified ETFs during December 2007 (limited by EMB) through December 2021, we find that: (more…)
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