Arbeitspapier

Understanding the Stock Market's Response to Monetary Policy Shocks

This paper explores whether a limited participation model of the monetary transmission mechanism can account for the observed response of stock market returns to monetary policy shocks. It is found that the model generates responses that broadly match the empirical counterparts, although the magnitudes are somewhat too small. Moreover, the results suggest that the increased exposure of bank-dependent firms to liquidity shocks cannot fully account for the heterogenous responses of returns that are observed across firms.

Language
Englisch

Bibliographic citation
Series: Working Paper ; No. 93

Classification
Wirtschaft
Subject
limited participation
asset pricing
stock market

Event
Geistige Schöpfung
(who)
Scharler, Johann
Event
Veröffentlichung
(who)
Oesterreichische Nationalbank (OeNB)
(where)
Vienna
(when)
2004

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Scharler, Johann
  • Oesterreichische Nationalbank (OeNB)

Time of origin

  • 2004

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