Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30213
Title: Stock market responses to monetary policy shocks: Firm-level evidence
Authors: Arin, KP
Kaplan, S
Polyzos, E
Spagnolo, N
Keywords: debt;firms;monetary policy
Issue Date: 19-Nov-2024
Publisher: Elsevier
Citation: Arin, K.P. et al. (2024) 'Stock market responses to monetary policy shocks: Firm-level evidence', Journal of Macroeconomics, 83, 103646, pp. 1 - 16. doi: 10.1016/j.jmacro.2024.103646.
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.
Description: JEL classification: I26; J15; Z13.
URI: https://bura.brunel.ac.uk/handle/2438/30213
DOI: https://doi.org/10.1016/j.jmacro.2024.103646
ISSN: 0164-0704
Other Identifiers: ORCiD: Nicola Spagnolo https://orcid.org/0000-0002-1663-2104
103646
Appears in Collections:Dept of Economics and Finance Research Papers

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