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Essays on Monetary Policy and Financial Markets

Publikation: Bog/antologi/afhandling/rapport › Ph.d.-afhandling

Dokumenter

This dissertation is composed of three self-contained chapters. The first chapter investigates the predictability of the Federal Reserve (Fed) sentiment conveyed by the words in the statements issued by the Federal Open Market Committee (FOMC). Furthermore, it shows the usefulness of the predicted Fed sentiment by forecasting two financial variables in both in-sample and out-of-sample settings, compared to its lag. The second chapter studies the time-varying effects of US monetary policy shocks on asset prices and macroeconomic variables. Monetary policy is decomposed into three dimensions: current monetary policy stance, FOMC communication about the economic outlook, and forward guidance. The third chapter examines whether news-media sentiment plays a significant role in explaining the spillover behaviour in the cryptocurrency market.
OriginalsprogEngelsk
UdgivelsesstedAarhus
ForlagAarhus Universitet
Antal sider234
ISBN (Trykt)9788793943452
StatusUdgivet - dec. 2022
SerietitelECON PhD Dissertations
Nummer2022-19

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