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Stock market responses to monetary policy shocks: Firm-level evidence

Author

Listed:
  • Arin, K. Peren
  • Kaplan, Samuel
  • Polyzos, Efstathios
  • Spagnolo, Nicola

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.

Suggested Citation

  • Arin, K. Peren & Kaplan, Samuel & Polyzos, Efstathios & Spagnolo, Nicola, 2025. "Stock market responses to monetary policy shocks: Firm-level evidence," Journal of Macroeconomics, Elsevier, vol. 83(C).
  • Handle: RePEc:eee:jmacro:v:83:y:2025:i:c:s0164070424000600
    DOI: 10.1016/j.jmacro.2024.103646
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    More about this item

    Keywords

    Debt; Firms; Monetary policy;
    All these keywords.

    JEL classification:

    • I26 - Health, Education, and Welfare - - Education - - - Returns to Education
    • J15 - Labor and Demographic Economics - - Demographic Economics - - - Economics of Minorities, Races, Indigenous Peoples, and Immigrants; Non-labor Discrimination
    • Z13 - Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification

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