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
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 93
- Classification
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Wirtschaft
- Subject
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limited participation
asset pricing
stock market
- Event
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Geistige Schöpfung
- (who)
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Scharler, Johann
- Event
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Veröffentlichung
- (who)
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Oesterreichische Nationalbank (OeNB)
- (where)
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Vienna
- (when)
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2004
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Scharler, Johann
- Oesterreichische Nationalbank (OeNB)
Time of origin
- 2004
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