| Abstract [eng] |
The main purpose of this master’s thesis is to determine the impact of the FED and the ECB monetary policy factors on various classes of financial assets in the United States and the Eurozone. Additionally, the research aims to identify which financial assets are most affected by monetary policy factors. The work consists of three main parts: the analysis of literature, the research and its results, conclusion and recommendations. Literature analysis reviewed the effect of the main channels of monetary policy on asset prices. Financial assets like government yield are affected directly due to quantitative easing (QE) and impact to other asset classes is indirect. Restrictive monetary policy through the credit channel increases corporate risk levels, and raises borrowing costs, thereby affecting corporate bond yields and stock prices. Although a direct relationship between central bank interest rates and the local currency is observed, many authors nevertheless fail to find a significant link between these two variables. Additionally, researchers have not reached a consensus on the impact of monetary policy on cryptocurrencies, observing positive, inverse, or insignificant relationships. After the literature analysis the author has carried out the study about the shadow rates and their advantages to measure conventional and unconventional monetary policies. Based on similar studies in this research there are employed correlation analysis, linear regression, and VAR models, IRF and FEVD methods. The main purpose is to evaluate FED and ECB monetary policies impact on financial assets like stock prices, bond yield, exchange rate and cryptocurrencies. The performed research revealed that government bond market is most strongly affected by direct CB interventions, while Bitcoin and exchange rates are less affected due to their volatility. Using a variety of methods, the study identified varying directions of impact: positive for bond yields, negative for stock indices, positive for the exchange rate, and dual for Bitcoin prices. The conclusions and recommendations summarize the aspects of literature analysis, the research methodology, dynamics of financial assets and monetary policy variables and the results of the performed research. This research has the potential to enrich existing studies and help investors to gain a deeper understanding of the impact of monetary policy on financial assets. |
