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Stock Market's Assessment of Monetary Policy Transmission : The Cash Flow Effect

Refet Gurkaynak - ; Hatice Gokce Karasoy-Can - ; Sang Seok Lee - ;

We show that firm liability structure and associated cash flows matter for firm behavior and that financial market participants price stocks accordingly. Stock price reactions to monetary policy announcements depend on the type and maturity of debt issued by the firms and the forward guidance provided by the Fed, both at and away from the zero lower bound. Further, the marginal stock market participant knows the current liability structures of firms and does not rely on rules of thumb. The cash flow exposure at the time of monetary policy actions predicts future investment, assets, and net worth, clearly violating the Modigliani-Miller theorem.


Ketersediaan

Call NumberLocationAvailable
PSB lt.dasar - Pascasarjana (Koleksi Majalah)1
PenerbitUSA: The American Finance Association 2022
EdisiVolume 77, Issue 4, August 2022, Pages 2375-2421
SubjekMonetary policy
Stock markets
Monetary policy transmission
Cash Flow Effect
ISBN/ISSN1540-6261
KlasifikasiNONE
Deskripsi FisikFirst published: 30 May 2022
Info Detail SpesifikThe Journal of Finance
Other Version/RelatedTidak tersedia versi lain
Lampiran Berkas
  • https://remote-lib.ui.ac.id:2075/10.1111/jofi.13163

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