Monetary Policy, Stock Returns, and the Role of Credit in the Transmission of Monetary Policy
We 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.
|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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