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

K. Peren Arin, Samuel Kaplan, Efstathios Polyzos and Nicola Spagnolo

Journal of Macroeconomics, 2025, vol. 83, issue C

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.

Keywords: Debt; Firms; Monetary policy (search for similar items in EconPapers)
JEL-codes: I26 J15 Z13 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:83:y:2025:i:c:s0164070424000600

DOI: 10.1016/j.jmacro.2024.103646

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