Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/279461 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 2023-6
Publisher: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Abstract: 
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.
Subjects: 
monetary policy
Fed information shocks
investments
CAPM beta
JEL: 
E22
E52
G31
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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