FOMC and ECB effect on stock market

  • Antonio De Falco (Student)

Student thesis: Master's Thesis


This study explores how unexpected changes in monetary policy influenced the stock market from 2006 to 2022. Using a method inspired by previous research, the analysis looks at various types of stock portfolios, including different market indexes and portfolios of various sizes and sectors. By focusing on the unexpected aspects of Federal Fund Rate changes, the study aims to uncover asymmetries in the market's response during different economic conditions, such as bull and bear markets. The results show that, while not all industry portfolios exhibited significant effects, there was a strong and statistically significant impact of monetary policy shocks on certain portfolios (CRSP EV and VW portfolios, including their deciles). Interestingly, this impact was more pronounced during bear markets. In simpler terms, the research helps us understand how unexpected changes in monetary policy specifically affect different types of stocks, shedding light on how the market responds under different economic circumstances.
Date of Award25 Jan 2024
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorLjubica Georgievska (Supervisor)


  • FOMC
  • Monetary policy shocks
  • Fed Fund Target Rate
  • S&P500
  • Industry portfolios
  • ECB
  • STOXX600


  • Mestrado em Finanças

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