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The influence of the Fed's monetary policies on the stock market during conventional and unconventional periods

Libert, Nicolas
(2024)

Files

Libert_95992000_2024.pdf
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Details

Supervisors
Candelon, Bertrand
Faculty
Louvain School of Management
Degree label
Master [120] : ingénieur de gestion, à finalité spécialisée
Abstract
In this thesis, we studied the influence of monetary policies on the U.S. stock market during conventional and unconventional periods, using S&P 500 data and statistical models such as VAR and VECM. The study covers three distinct periods: 2003-2008 and 2016-2022 for the conventional periods, with a few non-conventional months in 2020, and 2008-2016 for the non-conventional period. We determined a cointegration relationship for both the first and third periods. During these conventional periods, an increase in interest rates resulted in a short-term decline and a long-term rise in the S&P 500 for the first period, while the third period exhibited a short-term rise followed by a long-term decline in the stock market. The non-conventional period did not produce significant results due to the minimal impact of interest rate changes during this time. The quantitative easing policies demonstrated strong positive short-term impacts, followed by positive long-term stabilization for the second period. For the third period, these policies had a positive but lighter short-term influence and a slightly negative long-term influence.