Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence
Samuel Federico Kaplan,
Kerim Arin,
Polyzos Efstathios and
Nicola Spagnolo
No 4571, Asociación Argentina de Economía Política: Working Papers from Asociación Argentina de Economía Política
Abstract:
Using a universal 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 our results are driven by the third quartile of firms in terms of their leverage. Finally, our results are robust to the use of different measures of monetary policy shocks.
JEL-codes: C4 E5 G1 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2022-11
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-fdg and nep-mon
References: Add references at CitEc
Citations:
Downloads: (external link)
https://aaep.org.ar/works/works2022/4571.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:aep:anales:4571
Access Statistics for this paper
More papers in Asociación Argentina de Economía Política: Working Papers from Asociación Argentina de Economía Política Contact information at EDIRC.
Bibliographic data for series maintained by Juan Manuel Quintero (sistemas@fiel.org.ar).