全球智库信息集成服务系统(G2TT): DP14017 Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP14017
	DP14017 Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect
	Refet Gürkaynak; Sang Seok Lee; Gokce Karasoy Can
发表日期	2019-09-22
出版年	2019
语种	英语
摘要	We show that firm liability structure and associated cash flow matter for firm behavior, and that financial market participants price stocks accordingly. Looking at firm level stock price changes around monetary policy announcements, we find that firms that have more cash flow exposure see their stock prices affected more. The stock price reaction depends on the maturity and type of debt issued by the firm, and the forward guidance provided by the Fed. This effect has remained intact during the ZLB period. Importantly, we show that the effect is not a rule of thumb behavior outcome and that the marginal stock market participant actually studies and reacts to the liability structure of firm balance sheets. The cash flow exposure at the time of monetary policy actions predicts future net worth, investment, and assets, verifying the stock pricing decision and also providing evidence of cash flow effects on firms' real behavior. The results hold for S&P500 firms that are usually thought of not being subject to tight financial constraints.
主题	Financial Economics ; Monetary Economics and Fluctuations
关键词	Cash flow effect of monetary policy Investor sophistication Financial frictions Stock pricing
URL	https://cepr.org/publications/dp14017
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/542901
推荐引用方式 GB/T 7714	Refet Gürkaynak,Sang Seok Lee,Gokce Karasoy Can. DP14017 Stock Market's Assessment of Monetary Policy Transmission: The Cash Flow Effect. 2019.