The profitability of monetary policy transmission

Alex Hsu, Indrajit Mitra, and Linghang Zeng

We provide firm-level evidence that Federal Open Market Committee announcements have real effects by changing expectations of firm profitability. We use an existing decomposition of a monetary policy shock into a central bank information component (CBI) and a conventional monetary component (MP). We find (1) firms with a higher value of capital asset pricing model (CAPM) beta have a higher investment rate sensitivity to the CBI component; no similar heterogeneity in investment response is observed for the MP component. We also find (2) the heterogeneity in investment sensitivity is due to innovations to firm profitability.

MoreLess

Year of publication:	[2023]
Authors:	Hsu, Alex ; Mitra, Indrajit ; Zeng, Linghang
Publisher:	Atlanta, GA : Federal Reserve Bank of Atlanta
Subject:	monetary policy \| Fed information shocks \| investments \| CAPM beta \| Geldpolitik \| Monetary policy \| Geldpolitische Transmission \| Monetary transmission \| CAPM \| Schock \| Shock

freely available

Full text |

More access options

www.atlantafed.org

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (circa 42 Seiten) Illustrationen
Series:	Working papers / Federal Reserve Bank of Atlanta. - Atlanta, Ga. : [Verlag nicht ermittelbar], ISSN 1936-5225, ZDB-ID 2171117-3. - Vol. 2023, 6 (June 2023)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.29338/wp2023-06 [DOI] hdl:10419/279461 [Handle]
Classification:	E22 - Capital; Investment (including Inventories); Capacity ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G31 - Capital Budgeting; Investment Policy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014296452