The effects of information ambiguity on financial market responses to ECB monetary policy shocks
Rizzi, Maria Sofia (A.A. 2024/2025) The effects of information ambiguity on financial market responses to ECB monetary policy shocks. Tesi di Laurea in Market law and regulation, Luiss Guido Carli, relatore Joao Miguel Da Costa Monteiro, pp. 39. [Master's Degree Thesis]
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Abstract/Index
Data and construction of sentiment and uncertainty scores. Overview. Monetary policy shocks. News-based textual data: Bloomberg and Reuters. Sentiment and uncertainty scoring using OpenAI. Market outcome variables: VSTOXX and FEZ ETF. Visualization of sentiment and uncertainty scores. Descriptive patterns and preliminary insights. Information ambiguity index. Construction. Interpretation and conceptual rationale. Information ambiguity index time series and visual patterns. Empirical analysis: the effects of information ambiguity on financial market responses. Empirical specification. Shock identification and scaling. Standardization of the information ambiguity index. Regression results: estimated interaction effects.
References
Bibliografia: pp. 32-33.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Market law and regulation |
| Thesis Supervisor: | Da Costa Monteiro, Joao Miguel |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Sep 2025 14:18 |
| Last Modified: | 16 Sep 2025 14:18 |
| URI: | https://tesi.luiss.it/id/eprint/43200 |
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