Autor: Kaplan Samuel Federico(*), Arin Kerim Peren(**), Polyzos Efstathios(**), Spagnolo Nicola(***)
Institución: (*)UNC, (**)Zayed University, (***)Brunel University
Año: 2022
JEL: E5, G1, C4
Resumen:
Using a universal 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 our results are driven by the third quartile of firms in terms of their leverage. Finally, our results are robust to the use of different measures of monetary policy shocks.