This paper examines the impact of monetary policy shocks on air transportation stock returns and the effectiveness of risk management to mitigate these effects. Results from econometric analyses of high-frequency stock data finds airline stock returns to be highly sensitive to monetary policy shocks. Specifically examining airline financials, the transmission of these shocks is found to be strongest through airline cash flows via the discount rate effect. Moreover, major and non-major airline returns have become more sensitive to monetary policy shocks following the Great Recession and zero-lower bound of interest rates highlighting the necessity of managerial awareness. Despite the increased sensitivity, risk management strategies employed by airlines to address interest rate risk are found to be ineffective at mitigating the effects of these shocks. These findings suggest that airline managers may be better served devoting resources and attention to improved investment strategies and cash flow volatility mitigation.

本文研究了货币政策冲击对航空运输股票回报的影响以及风险管理减轻这些影响的有效性。高频股票数据的计量经济学分析结果发现，航空公司股票回报对货币政策冲击高度敏感。特别检查航空公司的财务状况，发现这些冲击的传导通过航空公司现金流通过贴现率效应最强。此外，在大衰退和零利率下限之后，主要和非主要航空公司的回报对货币政策冲击变得更加敏感，突出了管理意识的必要性。尽管灵敏度提高，航空公司为应对利率风险而采用的风险管理战略在减轻这些冲击的影响方面无效。这些调查结果表明，航空公司经理可能会更好地服务于将资源和注意力投入到改进的投资策略和缓解现金流波动上。