The profitability of monetary policy transmission

Arbeitspapier

We provide firm-level evidence that Federal Open Market Committee announcements have real effects by changing expectations of firm profitability. We use an existing decomposition of a monetary policy shock into a central bank information component (CBI) and a conventional monetary component (MP). We find (1) firms with a higher value of capital asset pricing model (CAPM) beta have a higher investment rate sensitivity to the CBI component; no similar heterogeneity in investment response is observed for the MP component. We also find (2) the heterogeneity in investment sensitivity is due to innovations to firm profitability.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2023-6

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Investment; Capital; Intangible Capital; Capacity ; Monetary Policy ; Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
• Thema: monetary policy ; Fed information shocks ; investments ; CAPM beta

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hsu, Alex ; Mitra, Indrajit ; Zeng, Linghang
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of Atlanta
• (wo): Atlanta, GA
• (wann): 2023

Weitere Informationen

• DOI: doi:10.29338/wp2023-06
• Handle: http://hdl.handle.net/10419/279461
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ