چرخه های اقتصاد کلان و واکنش بازار سهام به سیاست های پولی

This paper examines cyclical variation in the effect of Fed policy on the stock market. We find a much stronger response of stock returns to unexpected changes in the federal funds target rate in recession and in tight credit market conditions. Using firm-level data, we also show that firms that face financial constraints are more affected by monetary shocks in tight credit conditions than the relatively unconstrained firms. Overall, the results are consistent with the credit channel of monetary policy transmission.

Few events are watched by market participants with more interest than decisions of the Federal Reserve regarding monetary policy. This interest stems from a significant impact of news about Fed policy on asset prices. For example, Fleming and Remolona (1997) show that federal funds target rate announcements tend to cause large price changes in the US Treasury market. Fair (2002) reports that more than 30% of identifiable events that caused a large immediate price change in the stock market were monetary announcements. Bernanke and Kuttner (2005) show that an unexpected 25-basis point cut in the federal funds target rate leads to a one percent increase in the level of stock prices on average. Policymakers recognize that the stock market is an important conduit of monetary policy that can be used to influence real economic activity. Stock prices affect the real economy through a number of channels. Fluctuations in stock prices affect the firms’ cost of capital and their capacity to raise new capital and invest. Another channel is the wealth effect of stock prices on consumption and economic growth. The first step in each of these channels, however, is the effect of monetary policy on the stock market. A review of FOMC meeting transcripts shows that the Fed officials are often concerned about the possible impact of policy actions on the stock market and the resulting effects on consumption and investment. Therefore, it is important for policy makers to understand what determines the magnitude of the stock market’s reaction to policy moves. This paper argues that there is significant cyclical variation in the impact of monetary policy on stock prices. We show that the size of the response of stock returns to monetary shocks is more than twice as large in recessions and tight credit conditions as in good economic times. This result is important for several reasons. First, the direction of the time variation supports the credit channel of monetary policy transmission using stock market data. Prior evidence on this issue has been mixed.1 Second, our findings contribute to the literature on state dependence in the stock market’s response to macroeconomic news. Andersen et al. (2007) find no evidence of state dependence in the stock market’s response to monetary news. Using a more accurate measure of monetary news, a longer sample period, and multiple proxies for macroeconomic state, we find strong evidence of such state dependence. Finally, our evidence of cyclical variation in the response of stocks to monetary news should be useful to Fed policymakers by helping them predict the effect of a target rate change on the stock market. In further analysis, we use disaggregated firm-level data to examine the response of stock returns to monetary shocks in the cross-section of firms. The results show that the response of stock returns to monetary news over the macroeconomic cycle depends on individual credit characteristics of firms. Specifically, stocks of companies that are likely to be credit constrained react more strongly to monetary news in recessions and in tight credit market conditions than stocks of relatively unconstrained firms. This finding supports the credit channel hypothesis and contributes to the literature by showing how macroeconomic conditions interact with firm characteristics to determine the reaction of stocks to monetary policy moves.

This study examines whether and how the effect of monetary policy on stock returns varies with the cyclical forces of the economy. We find that the effect of unexpected changes in the fed funds target rate on stock returns depends on the state of the business cycle and on credit market conditions. Specifically, the response of stocks to monetary news is at least twice as large in recessions and tight credit conditions as in good economic times. We also show that financially constrained firms respond more than relatively unconstrained firms to monetary shocks in adverse macroeconomic conditions. This result supports the credit channel by showing that macroeconomic cycles interact with firm-specific financial characteristics to determine the effect of monetary shocks on stock returns.