Sökning: "FOMC Announcements"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden FOMC Announcements.

  1. 1. Changing Patterns over the FOMC Cycle

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Edvin Holst; Theodor Von Der Esch; [2023]
    Nyckelord :FOMC; Federal Reserve Board of Governors; Pre-FOMC announcement drift; Macro-announcements;

    Sammanfattning : We document that in the period 2017 to 2022, the US stock market did not feature the same pattern of higher excess stock returns in even weeks following Federal Open Market Committee (FOMC) announcements as in the period 1994 to 2016. We show that timing of Board of Governors meetings and direction of Fed funds target rate movements affect US market returns in both periods, and connect changes in these factors to the distortion of the even-week return pattern. LÄS MER

  3. 2. Bitcoin’s Response to U.S. Monetary Policy Easing Announcements

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Emilia Felicidad Alarcon Valdez; [2021]
    Nyckelord :Bitcoin; Federal Reserve; Monetary Policy Easing; Inflation; Intraday data; Business and Economics;

    Sammanfattning : This paper aims to evaluate the effect of the U.S. monetary policy on the bitcoin price. In particular, how monetary policy easing affects the bitcoin returns. LÄS MER

  4. 3. FEDERAL FUNDS RATE ON BITCOIN VOLATILITY : Using the symmetric GARCH and asymmetric EGARCH models

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Elias Atmander; [2021]
    Nyckelord :;

    Sammanfattning : This thesis examines the volatility of Bitcoin during four years from 2014-04-01 until 2020-04-01. The main objective of the thesis was to answer the research question: “Is the return volatility of Bitcoin affected by interest rate change announcements by the FOMC?” and given Bitcoin’s decentralized characteristics, the hypothesis to this was that Bitcoin should not be affected by such changes. LÄS MER

  5. 4. Bank Stock Returns and Monetary Policy Surprises: Before and After the Financial Crisis

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Jean-Philippe Chakbazof; Ludvig Sviberg; [2020]
    Nyckelord :Monetary Policy; FOMC Announcements; Interest Rate Surprises; Maturity Mismatch;

    Sammanfattning : Using daily bank stock data and quarterly balance sheet data, we estimate the reaction of bank stock returns and maturity mismatches to surprise changes in the federal funds rate and the slope of the yield curve on FOMC dates, before and after the financial crisis of 2008. We find that the reaction of U.S. LÄS MER

  7. 5. The Rise and Fall of the Pre-FOMC Announcement Drift

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Carl Kugelberg; Hannes Hjärne; [2019]
    Nyckelord :Pre-FOMC announcement drift; ; excess return; monetary policy; Sweden;

    Sammanfattning : This thesis builds upon the influential paper "The Pre-FOMC Announcement Drift" by Lucca and Moench that was published in the Journal of Finance in 2015. The authors found that the periods leading up to FOMC announcements were accompanied by large excess returns. LÄS MER