Full bibliography

Using weekly data from January 3, 2003 to March 27, 2015, we examine the responses of U.S. stock returns (S&P 500, DJIA, and NASDAQ) to monetary policy, controlling for WTI oil prices and the value of the U.S. dollar (USD) against major currencies. Based on differences between the federal funds rate and inflation expectations, U.S. real interest rates have become continuously negative since January 28, 2009. Vector auto-regressions (VARs) suggest stronger linkages more recently and vine copula models identify the structure of dependence across these markets, which can help investors optimize portfolio diversification.