Study credit channel using clustering and test the difference in mean portfolio returns. The calculated debt-to-capital, interest coverage, current ratio, payables turnover ratio. Analysis of stock market behavior. Comparison of portfolios’ performances.
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Analysis of stock market behavior Before we proceed to analysis of credit channel of monetary policy transmission we need to compare our data on stock returns with that used in study of (Ehrmann & Fratzcher, 2004). They used the same data as (Bernanke & Kuttner, 2005), which is provided by CRSP institute, and which represents 500 largest public US companies. Periods of both studies are the same. We have to indirectly compare two sources of data in order to be reduce “measurement error” factor. It is not possible to eliminate the measurement error entirely due to the peculiarities of our data discussed above, however, at most we can hope that the S&P 500* broad market index of value-weighted stock returns sufficiently reproduces the true CRSP-based market return. To investigate the latter point, we compare regression results of the general model in (Bernanke & Kuttner, 2005). However, we cannot directly compare two datasets because their time frames are different. That is why we obtained data by CRSP institute aggregated in 10 size-sorted portfolios by K.R. French. Using cutoff levels of market capitalization (published in the same resource) we created an aggregate CRSP value-weighted market index, and call the sample of returns as “CRSP 500*”. Table 1. Descriptive statistics Source - Period Bernanke (2005) - CRSP vwr May 1989 - December 2002 CRSP 500* vwr March 1997 - December 2008 S&P 500* vwr March 1997 - December 2008 Corr. coefficient between CRSP 500* and S&P500* vwr FOMC meetings (event days) 131 100 100 Rate changes (action d.) 54 (May 89 - Jan 94 / Feb 94 - Dec 02) 48 (Mar 97 - Dec 08) 48 (Mar 97 - Dec 08) St.dev. of eq. ret. on event days 0.80 / 1.26 1.413 1.565 95.72% St.dev. of eq. ret. on nonevent days 0.71 / 1.11 1.356 1.419 97.57% St.dev. of eq. ret. on action days - 1.506 1.710 95.67% The table reports selected descriptive statistics for federal funds rate changes for two overlapping periods, and the CRSP value-weighted returns as in Bernanke (2005), and value-weighted equity returns in the S&P 500* and in the CRSP 500*.
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