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Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | Impact of Quantitative Easing on US Bank Stock Prices |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Date | 2016 |
Abstract Text | In 2008, the Federal Reserve responded decisively to the challenges posed by the fmancial crisis, reducing the federal funds rate dramatically to the zero lower bound and introducing unconventional monetary policy measures - the Quantitative Easing (QE) program. This thesis aims to assess the impact of the Federal Open Market Committee announcements on the stock prices of US banks. In a first step, an event study is used to measure the cumulated abn9rm:al returns around the announcements over the period November 2008 - December 2014. As a second' step, a regression analysis is conducted in order to estimate the determinants of the cumulative abnormal returns. The results indicate that banks with a lower capital ratio were more sensitive to monetary policy announcements, Large banks, which experienced negative cumulative abnormal returns were less sensitive than smaller banks. The reason might be that the market expected QE to be transmitted mainly through large banks, generating income for them, which might have mitigated the potentially negative impact of the financial crisis on those banks. |
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