The credit channel of monetary policy transmission: evidence from stock returns
利用股票市场数据检验货币政策传导的信贷渠道，通过识别美联储政策冲击并追踪股票价格变化，发现信贷渠道的证据不足。
This paper offers a novel test of the credit view of the monetary policy transmission mechanism using stock market returns. We identify Fed policy shocks using newspaper accounts and track daily stock prices immediately following the shocks. If the credit channel is important, then firms that are dependent on bank credit and internal funds should receive a relatively greater benefit (loss) from a Fed easing (tightening) than firms with access to nonbank credit at favorable terms. We identify ten policy shocks during the expansion of 1993-94 and the 'credit crunch' period of the 1990-91 recession and find little evidence supportive of an operative credit channel.