Template-Type: ReDIF-Paper 1.0
Author-Name: Samuel Federico Kaplan 
Author-Name-First: Samuel Federico
Author-Name-Last: Kaplan
Author-Name: Arin Kerim Peren
Author-Name-First: Arin Kerim
Author-Name-Last: Peren
Author-Name: Polyzos Efstathios
Author-Name-First: Polyzos
Author-Name-Last: Efstathios
Author-Name: Spagnolo Nicola
Author-Name-First: Spagnolo
Author-Name-Last: Nicola
Title: Stock Market Responses to Monetary Policy Shocks: Universal Firm-Level Evidence
Abstract: 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.
Length:  19 pages
Creation-Date:  2022-11
File-URL: https://aaep.org.ar/works/works2022/4571.pdf
File-Format: Application/pdf
Number: 4571
Classification-JEL: E5, G1, C4
Handle: RePEc:aep:anales:4571