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

• 成果类型: Article
• 署名作者: Gurkaynak, Refet; Karasoy-can, Hatice Gokce; Lee, Sang Seok
• 署名单位: Ihsan Dogramaci Bilkent University; Center for Economic & Policy Research (CEPR); Central Bank of the Republic of Turkey
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13163
• 发表日期: 2022
• 页码: 2375-2421
• 关键词: INTEREST-RATE RISK; federal-reserve; interest-rates; constraints; identification; surprises; guidance; returns

摘要

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.