Monetary Policy, Stock Returns, and the Role of Credit in the Transmission of Monetary Policy
AbstractWe use a multi-factor asset pricing model to investigate whether fluctuations in industry stock returns are due to industry stock returns are due to industry-specific shocks or to monetary and other macroeconomic factors. We find that common factors explain a substantial portion of the variation in stock returns, indicating that economic fluctuations are not due to industry-specific factors alone. We also find that disinflationary policy benefits large but not small firms. These results have mixed implications for the view that credit market frictions propagate monetary shocks.
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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 9902006.
Length: 30 pages
Date of creation: 05 Feb 1999
Date of revision:
Note: Type of Document - Acrobate PDF File; prepared on IBM PC; to print on PostScript; pages: 30; figures: included
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Other versions of this item:
- Willem Thorbecke & Lee Coppock, 1995. "Monetary Policy, Stock Returns, and the Role of Credit in the Transmission of Monetary Policy," Economics Working Paper Archive wp_133, Levy Economics Institute.
- E - Macroeconomics and Monetary Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-02-15 (All new papers)
- NEP-MON-1999-02-15 (Monetary Economics)
- NEP-PKE-1999-02-15 (Post Keynesian Economics)
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