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The effect of changes in Federal fun...

Yin, Haiyan.

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The effect of changes in Federal funds rate target on bank stock returns in the U.S.A.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	The effect of changes in Federal funds rate target on bank stock returns in the U.S.A./
Author:	Yin, Haiyan.
Description:	174 p.
Notes:	Adviser: Jiawen Yang.
Contained By:	Dissertation Abstracts International68-12A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3288827
ISBN:	9780549317616

The effect of changes in Federal funds rate target on bank stock returns in the U.S.A.
Yin, Haiyan.

The effect of changes in Federal funds rate target on bank stock returns in the U.S.A. - 174 p.

Adviser: Jiawen Yang.

Thesis (Ph.D.)--The George Washington University, 2007.

From the cross-sectional analysis, I find that monetary shocks have more pronounced impact on the banks with larger size, lower capital ratio, higher level of business diversification and higher level of international exposure.

ISBN: 9780549317616Subjects--Topical Terms:

1018458
Business Administration, Banking.

The effect of changes in Federal funds rate target on bank stock returns in the U.S.A.
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008 110525s2007 ||||||||||||||||| ||eng d
020 $a 9780549317616
035 $a (UMI)AAI3288827
035 $a AAI3288827
040 $a UMI $c UMI
100 1 $a Yin, Haiyan. $3 1272419
245 1 4 $a The effect of changes in Federal funds rate target on bank stock returns in the U.S.A.
300 $a 174 p.
500 $a Adviser: Jiawen Yang.
500 $a Source: Dissertation Abstracts International, Volume: 68-12, Section: A, page: 5124.
502 $a Thesis (Ph.D.)--The George Washington University, 2007.
520 $a From the cross-sectional analysis, I find that monetary shocks have more pronounced impact on the banks with larger size, lower capital ratio, higher level of business diversification and higher level of international exposure.
520 $a The results of this study benefit investors, depositors, bank managers and policy makers.
520 $a This dissertation documents the reactions of bank stocks to monetary policy actions, which include the changes in Federal funds rate target and the FOMC meetings without adjustment in target rate. As the key policy tool used by the Federal Reserve, the changes in Federal funds rate target are considered by the market participants to convey important information of monetary policy. On the one hand, I examine the state dependency of the effect of target changes on bank stocks. On the other hand, I conduct a cross-sectional analysis to investigate if banks of different characteristics react differently to the changes in funds rate target.
520 $a I find supportive evidence that the responses of bank stocks to monetary actions are conditional on the context in which the policy change takes place. Specifically, I observe that bank stocks are more adversely affected by the target changes accompanied by a simultaneous discount rate change, which is different with existing evidence. In addition, I find that the target changes that start a new policy direction elicit more market reaction, bank stocks react more vigorously to small surprises than to big surprises, and the direction of the target change does not matter.
590 $a School code: 0075.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
690 $a 0508
690 $a 0770
710 2 $a The George Washington University. $b International Business. $3 1272420
773 0 $t Dissertation Abstracts International $g 68-12A.
790 $a 0075
790 1 0 $a Handorf, William $e committee member
790 1 0 $a Park, Yoon S $e committee member
790 1 0 $a Yang, Jiawen, $e advisor
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3288827