 The theory of monetary policy tells us that monetary policy has big effects on asset prices, stocks, and bonds. It tells us that monetary policy affects expected output growth, it affects expected inflation. What I uncover in my research is there's been a very important change in the practice in some sense of what's going on in the data. There's been a big change between, say, before 1995 and after 1995 in the joint relationship between stock returns and real interest rates. Now the science tells us that can't happen unless we can uncover macroeconomic explanations for this behavior. But the data, in some sense, my practice tells me we can't do that. We have a very hard time linking the macroeconomy to what I observe in financial markets. And to me the big message of that is science has a long way to go in helping us understand the essential features of macroeconomic dynamics and really why monetary policy works.