Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264685 
Year of Publication: 
2004
Series/Report no.: 
Working Paper No. 93
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
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.
Subjects: 
limited participation
asset pricing
stock market
JEL: 
E4
E5
G1
Document Type: 
Working Paper

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