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Cited by 465

The DOI matches its Crossref record; 47 of the 47 references it cites were found in a registry or an index.

Taking Stock: Monetary Policy Transmission to Equity Markets

Open access
Ehrmann, Michael, Fratzscher, Marcel·2004·Journal of Money, Credit, and Banking
DOI 10.1353/mcb.2004.0063
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Abstract

This paper analyses the effects of US monetary policy on stock markets.We find that, on average, a tightening of 50 basis points reduces returns by about 3%.Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance and during periods of high market uncertainty.We show that individual stocks react in a highly heterogeneous fashion and relate this heterogeneity to financial constraints and Tobin's q.First, we show that there are strong industry-specific effects of US monetary policy.Second, we find that for the individual stocks comprising the S&P500 those with low cashflows, small size, poor credit ratings, low debt to capital ratios, high price-earnings ratios or high Tobin's q are affected significantly more.The use of propensity score matching allows us to distinguish between firmand industry-specific effects, and confirms that both play an important role.

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Metadata

Authors
Ehrmann, M., & Fratzscher, M.
Venue
Journal of Money, Credit, and Banking
Publisher
Project MUSE
Published
2004
Volume
36
Issue
4
Pages
719-737
ISSN
  • 0022-2879 (ISSN-L)
  • 1538-4616
DOI
10.1353/mcb.2004.0063
OpenAlex
W2096527115
Cited by
465
References
47
FWCI
17.41
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Taking Stock: Monetary Policy Transmission to Equity Markets. https://app.cochat.ai/papers/10.1353/mcb.2004.0063
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Ehrmann, M., & Fratzscher, M. (2004). Taking Stock: Monetary Policy Transmission to Equity Markets. Journal of Money, Credit, and Banking. https://doi.org/10.1353/mcb.2004.0063

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

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