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Do Companies Financials Explain Different Magnitudes of Stocks Reactions to Changes in the Fed Funds Rate

Student: Vladislav Ulianychev

Supervisor: Victoria V. Dobrynskaya

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 8

Year of Graduation: 2016

In this work we suggested a new approach to estimating the role of financial ratios in explaining equities reaction to surprise changes in the target interest rate. Thus far, we have found new evidence for existence of credit channel of monetary policy transmission on equities’ market. In particular, we’ve established supportive evidence for these measures of financial health of the firms – Debt-to-Capital ratio, Tobin’s Q, and Interest Coverage ratio.

Full text (added June 15, 2016)

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