Stock market responses to monetary policy shocks: Firm-level evidence
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.
Authors
- Nicola Spagnolo (ORCID: https://orcid.org/0000-0002-1663-2104)
- Efstathios Polyzos (ORCID: https://orcid.org/0000-0002-4317-1809)
- K. Peren Arın (ORCID: https://orcid.org/0000-0002-6991-2468)
- Samuel Kaplan
Institutions
- Universidad Nacional de Córdoba (AR)
- University of San Andrés (AR)
- University of Campania "Luigi Vanvitelli" (IT)
- Azienda Ospedaliera Universitaria Università degli Studi della Campania Luigi Vanvitelli (IT)
- Brunel University of London (GB)
- Zayed University (AE)
Publication Details
- Journal
- Journal of Macroeconomics
- Published
- 2024-11-19
- DOI
- https://doi.org/10.1016/j.jmacro.2024.103646
- Citations
- 5
- Primary Topic
- Market Dynamics and Volatility
- Type
- article
- Field-Weighted Citation Impact
- 5.65