I am a senior economist at the Federal Reserve Board in the Division of International Finance. Prior to joining the Federal Reserve, I obtained my PhD in Financial Economics from Copenhagen Business School.
Please get in touch at ben.knox@frb.gov
We survey and extend work on the Federal Reserve's effect on the stock market focusing on three empirical facts: The effect of monetary policy surprises in a narrow window around FOMC announcements, the pre-FOMC announcement drift, and the FOMC cycle in stock returns.
On average stocks suffer negative returns on inflationary news but firms with high market power outperform those with low market power. The results are consistent with stock market investors having a stagflationary view of the world.
The asset allocation decision and the product pricing decision of insurance companies are more connected than previously thought, with insurance prices lower when insurance companies have higher expected investment returns.
A new data-driven approach to identify events that are significantly priced by equity markets in real time without using realized returns or taking a stance on what those events are ex-ante. A variety of economic and political events matter, but the elevated equity premia on macroeconomic release days are quantitatively far from explaining the large realized excess returns associated with prescheduled events.
A new method for decomposing realized stock market capital gains into contributions from changes to the real yield curve, equity premia, and expected dividends. The method centers on changes to observable inputs of the present value formula and requires no regressions or log-linearization. We provide applications to US data and highlight heterogeneity in capital gain drivers across different periods.
Jixing Li and Matthew Ringgenberg (2023, AFA) "Does Secondary Market Liquidity affect the Economy?" [slides]
Sebastian Hillenbrand and Odhrain McCarthy (2024, Yale Junior Finance Conference) "Valuing Stocks with Earnings" [slides]
Xiang Fang, Sining Liu and Yang Lui (2024, SFS Cavalcade Asia-Pacific) "Currency Risk Under Capital Controls" [slides]
Hyeyoon Jung, Robert Engle, Shan Ge and Xuran Zengi (2026, AFA) "Physical Climate Risk Factors and an Application to Measuring
Insurers’ Climate Risk Exposure" [slides]