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This paper explains the effects of monetary policy surprises on long-term interest rates and stock prices in terms of changes in expected inflation, real interest rate and dividend growth, and relates these effects to markets' perceptions of economic shocks and Fed's information set. We analyze stock and bond futures price co-movements and relate them to Treasury Inflation-Protected Securities (TIPS) data. The sign of long-term interest rate reactions is mostly driven by changes in expecteddoi:10.2139/ssrn.1099957 fatcat:64md25zk3ngptdi2ibbdq7qa24