CEU Electronic Theses and Dissertations, 2010
| Author | Chetveryk, Nataliia Myhailivna |
|---|---|
| Title | Asymmetric Effects of Monetary Policy Transmission to Stock Market |
| Summary | In this thesis I examine asymmetric effects of stock responses to monetary policy shock. I discuss alternative approaches to identification of monetary policy shocks proposed by empirical and theoretical literature on monetary policy. I focus on two most popular measures defined by VAR orthogonalized innovations and decomposed federal funds rate change. I show how the results of stock responses can vary with respect to the measure of policy stance chosen for estimation. My empirical results confirm the presence of firm-specific and industry-specific effects of stock returns to monetary conditions. |
| Supervisor | Julius Horvath |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2010/chetveryk_nataliia.pdf |
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