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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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FullText.pdf | Copyright © 2024 The Authors. Published by Elsevier Inc. This is an open access article under a Creative Commons license (https://creativecommons.org/licenses/by/4.0/). | 4.04 MB | Adobe PDF | View/Open |
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