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

Willem Thorbecke and Lee Coppock ()

Macroeconomics from University Library of Munich, Germany

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)
Pages: 30 pages
Date: 1999-02-05
New Economics Papers: this item is included in nep-mon and nep-pke
Note: Type of Document - Acrobate PDF File; prepared on IBM PC; to print on PostScript; pages: 30; figures: included
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Monetary Policy, Stock Returns, and the Role of Credit in the Transmission of Monetary Policy (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:9902006

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