Unveiling the Impact of Macroeconomic Policies: A Double Machine Learning Approach to Analyzing Interest Rate Effects on Financial Markets

arXiv:2404.07225v1 Announce Type: cross
Abstract: This study examines the effects of macroeconomic policies on financial markets using a novel approach that combines Machine Learning (ML) techniques and causal inference. It focuses on the effect of interest rate changes made by the US Federal Reserve System (FRS) on the returns of fixed income and equity funds between January 1986 and December 2021. The analysis makes a distinction between actively and passively managed funds, hypothesizing that the latter are less susceptible to …

abstract arxiv causal causal inference cs.ai cs.lg effects financial financial markets impact inference machine machine learning markets novel policies q-fin.st rate study type