Monetary Policy, Investment and Firm Heterogeneity

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aut.relation.journalEuropean Economic Reviewen_NZ
aut.relation.volume148en_NZ
aut.researcherVermeulen, Philip
dc.contributor.authorVermeulen, Pen_NZ
dc.contributor.authorDurante, Een_NZ
dc.contributor.authorFerrando, Aen_NZ
dc.date.accessioned2022-09-09T04:26:33Z
dc.date.available2022-09-09T04:26:33Z
dc.date.copyright2022-09-01en_NZ
dc.date.issued2022-09-01en_NZ
dc.description.abstractThis paper provides new evidence on the channels of monetary policy transmission combining 9 million observations on firm level investment and high-frequency identified monetary policy shocks. We show that the reaction of firms’ investment to a monetary policy shock is heterogeneous along dimensions that correspond to the two main channels of monetary policy transmission. First, we show that young firms are more sensitive to monetary policy shocks and that high leverage amplifies the effects, supporting the existence of a credit channel of monetary policy. Second, we document large cross-sectional heterogeneity related to the industry the firm operates in. We find that firms producing durable goods react more than others, which is consistent with traditional interest rate channel effects of monetary policy. Furthermore, this sectoral effect is longer lived. In line with the demand effects of the interest rate channel, we also provide evidence that sales growth of durables producing firms reacts stronger to a monetary policy shock.
dc.identifier.citationEuropean Economic Review, Volume 148, September 2022, 104251
dc.identifier.doi10.1016/j.euroecorev.2022.104251en_NZ
dc.identifier.issn0014-2921en_NZ
dc.identifier.urihttps://hdl.handle.net/10292/15436
dc.publisherElsevieren_NZ
dc.relation.urihttps://www.sciencedirect.com/science/article/pii/S0014292122001489
dc.rights© 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
dc.rights.accessrightsOpenAccessen_NZ
dc.subjectMonetary policy transmission; Monetary policy shocks; Investment
dc.titleMonetary Policy, Investment and Firm Heterogeneityen_NZ
dc.typeJournal Article
pubs.elements-id475505
pubs.organisational-data/AUT
pubs.organisational-data/AUT/Faculty of Business, Economics and Law
pubs.organisational-data/AUT/Faculty of Business, Economics and Law/School of Economics
pubs.organisational-data/AUT/zBusiness School Accreditation
pubs.organisational-data/AUT/zBusiness School Accreditation/2020
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