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dc.contributor.authorLuo, H. Arthur
dc.contributor.authorCheng, Jen-Chi
dc.contributor.authorVijverberg, Chu-Ping C.
dc.identifier.citationLuo, H. Arthur; Cheng, Jen-Chi; Vijverberg, Chu-Ping C. 2016. Monetary shocks, equity returns and volatility: a firm-level panel data analysis. Applied Economics, vol. 48:no. 4:pp 261-275en_US
dc.descriptionClick on the DOI link to access the article (may not be free).en_US
dc.description.abstractThis article studies the impact of monetary policy shocks on equity returns and their volatility among nine industries and their affiliated firms in the United States. We use an extension of the traditional CAPM as the analytical framework and approximate policy shocks with the unexpected component of the federal funds rate. Data on the characteristics of firms and industries are obtained from Compustat and the Center for Research in Security Prices, covering a sample period from 1987 to 2009. Our results clearly show that responses to policy shocks vary by industry and across firms. Furthermore, credit availability matters in certain industries, and small, financially constrained, and bank-dependent firms are found to be more vulnerable to unexpected federal funds rate shocks.en_US
dc.publisherRoutledge Journals, Taylor & Francis Groupen_US
dc.relation.ispartofseriesApplied Economics;v.48:no.4
dc.subjectMonetary shocken_US
dc.subjectFirm characteristicsen_US
dc.subjectTaylor ruleen_US
dc.subjectMarkov switchingen_US
dc.subjectFinancial accelerator modelen_US
dc.titleMonetary shocks, equity returns and volatility: a firm-level panel data analysisen_US
dc.rights.holder© Informa UK Limited, an Informa Group Companyen_US

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