Vliv konvenční a nekonvenční měnové politiky na výnosnost vybraných akciových sektorů v USA

The thesis analyzes the impact of conventional and unconventional monetary policy of the Federal Reserve System on the returns of selected sectors of the U.S. stock market. The analysis is based on monthly data covering the period from 2000 to 2025 and includes the technology, financial, utilities and industrial sectors. Conventional monetary policy is captured through changes in the Federal Funds Rate, while unconventional policy is captured through changes in the volume of securities held outright by the Fed. Separate VAR models were estimated for each sector, with results based on impulse response functions, forecast error variance decomposition, and a supplementary rolling-window analysis. The results show substantial heterogeneity across sectors. The strongest response to changes in monetary policy was found in the financial and industrial sectors, while the technology sector and the utilities sector exhibit weaker and less statistically significant relationships. The rolling-window analysis further indicates that sectoral sensitivity varies over time and is more pronounced particularly during periods of economic crises and significant shifts in monetary policy stance.