Monetary Policy, Stock Returns, and the Role of Credit in the Transmission of Monetary Policy

Willem Thorbecke and Lee Coppock
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Willem Thorbecke: The Jerome Levy Economics Institute
Lee Coppock: The Jerome Levy Economics Institute

Macroeconomics from EconWPA

Abstract: We use a multi-factor asset pricing model to investigate whether fluctuations in industry stock returns are due to industry stock returns are due to industry-specific shocks or to monetary and other macroeconomic factors. We find that common factors explain a substantial portion of the variation in stock returns, indicating that economic fluctuations are not due to industry-specific factors alone. We also find that disinflationary policy benefits large but not small firms. These results have mixed implications for the view that credit market frictions propagate monetary shocks.

JEL-codes: E (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mon and nep-pke
Date: 1999-02-05
Note: Type of Document - Acrobate PDF File; prepared on IBM PC; to print on PostScript; pages: 30; figures: included

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http://129.3.20.41/eps/mac/papers/9902/9902006.pdf (application/pdf)

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