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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
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