Work

Stock market responses to monetary policy shocks: Firm-level evidence

Year: 2024

Type: article

Abstract: Using a firm-level data set for the U.S., we investigate the stock price responses to unanticipated and unconventional monetary policy shocks. Our results show that indebtedness/leverage is more important than size or age in explaining the cross-firm variation in responses to monetary policy. We also show that the magnitude of the indebtedness is important while the debt structure is not, and the third quartile of firms drives our results. We assess the robustness of our empirical findings across several dimensions.

Source: Journal of Macroeconomics

DOI: 10.1016/j.jmacro.2024.103646

Authors: K. Peren Arin, Samuel Kaplan, Efstathios Polyzos, Nicola Spagnolo

Institutions: Zayed University, Universidad Nacional de Córdoba, University of San Andrés, University of Campania "Luigi Vanvitelli", Brunel University of London

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,970

OpenAlex ID: W4404517225

FWCI: 5.38

Cites: 51

Cited by: 8

Related to: 10