Arbeitspapier
Taking stock: monetary policy transmission to equity markets
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance and during periods of high market uncertainty. We show that individual stocks react in a highly heterogeneous fashion and relate this heterogeneity to financial constraints and Tobin's q. First, we show that there are strong industry-specific effects of US monetary policy. Second, we find that for the individual stocks comprising the S&P500 those with low cashflows, small size, poor credit ratings, low debt to capital ratios, high price-earnings ratios or high Tobin's q are affected significantly more. The use of propensity score matching allows us to distinguish between firmand industry-specific effects, and confirms that both play an important role.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 354
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
Financial Markets and the Macroeconomy
Monetary Policy
- Thema
-
credit channel
financial constraints
monetary policy
propensity score matching
S&P500
stock market
Tobin’s q
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ehrmann, Michael
Fratzscher, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ehrmann, Michael
- Fratzscher, Marcel
- European Central Bank (ECB)
Entstanden
- 2004
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