Analysis of the impact of monetary policy announcements on stock markets: an approach based on the abnormal returns model
Di Tosto, Matteo (A.A. 2023/2024) Analysis of the impact of monetary policy announcements on stock markets: an approach based on the abnormal returns model. Tesi di Laurea in International financial economics, Luiss Guido Carli, relatore Guido Traficante, pp. 100. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
Monetary policy actions and their transmission channels: a focus on the stock market. The changed role of central banks in the economy. Conventional monetary policies. The transmission mechanism. The neoclassical channels of conventional monetary policies. Non neoclassical chennales. The great financial crisis: the liquidity trap. A synergic approach to bypass ZLB: the unconventional monetary policies and its channels. Impact of monetary policies on stock markets: the crucial role of expectations. Literature overview on stock market reactions to monetary policies. Event studies and VAR models: pros and cons. Stock market response to policy announcements in 2008-2015 and 2022-2024: evidence from the us and eurozone based on abnormal returns model. Explanation of what abnormal returns model is. Statistical framework of the model. From abnormal returns to cumulative average abnormal returns (CAARs). Literature overview and research hypothesis formulation. Introduction to empirical section. The Lehman Brothers collapse and American and European monetary policy in 2008-2015. The inflationary crisis and American and European monetary policy in 2022-2024. Building of event and estimation window. Selection of the sample and definition of pre-and post-announcement periods. Results referred to FED and ECB for each period.
References
Bibliografia: pp. 96-100.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | International financial economics |
| Thesis Supervisor: | Traficante, Guido |
| Thesis Co-Supervisor: | De Arcangelis, Giuseppe |
| Academic Year: | 2023/2024 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 30 Jan 2025 14:45 |
| Last Modified: | 30 Jan 2025 14:45 |
| URI: | https://tesi.luiss.it/id/eprint/41160 |
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