``` Monetary Policy Transmission from the U.S. Federal Reserve to the NASDAQ-100 (2020–2024) ```

Details

Supervisors

Thewissen, James

Faculty

Louvain School of Management

Degree label

Master [120] en sciences de gestion, à finalité spécialisée

Abstract

enThis thesis examines the transmission of U.S. monetary policy shocks to the NASDAQ-100 over the 2020–2024 period using three complementary empirical exercises: a high-frequency event study, a Local Projections-IV framework, and a Campbell–Ammer return decomposition. Identification follows Jaroćiński and Karadi (2020), whose sign-based procedure separates pure monetary policy shocks from central bank information shocks within narrow FOMC announcement windows. A one-standard-deviation contractionary surprise is associated with a −8.40% decrease within the announcement window (p = 0.008, R2 = 0.291, N = 40). The forward-guidance component drives this response: the path factor coefficient is −12.63% (p = 0.012) while the target factor is statistically indistinguishable from zero. Local Projections-IV estimates a cumulative impact of −25.3% per percentage-point increase in the federal funds rate (p = 0.006), compared to −10.2% (p = 0.239) when the raw unpurified surprise is used as instrument, suggesting that identification discipline matters quantitatively. Pure monetary tightening events generate average same-day NASDAQ-100 returns of −0.20% against +0.24% for central bank information events (t = −2.52, p = 0.016). The Campbell–Ammer decomposition finds no statistically significant association between the purified shock and any individual news component — cash-flow news (p = 0.831), discount-rate news (p = 0.803), and equity risk premium news (p = 0.426) — leaving channel attribution inconclusive at the monthly frequency. This result is broadly consistent with the identification framework: purifying the shock removes the artefactual covariation that inflates the apparent equity risk premium channel in studies using raw surprises.