Citlivost evropského finančního sektoru na lokálních tržních úrokových sazbách a na měnové politice Evropské centrální banky

The main goal of this master’s thesis is to test the sensitivity of the European financial and banking sector to the local market interest rates in Europe. The sensitivity of those sectors will be examined also with respect to the new information, that’s being communicated by the European Central Bank through press releases and press conferences. Sensitivity is examined in comparison with the wide European stock market, without any sector focus. The data that’s been used are from the time range of 2001 till 2021. As the fundamental data, the returns of European stock indices and returns of European government bonds have been chosen. Furthermore, a database containing a series of days, during which the ECB released its press releases and arranged press conferences on the topic of future monetary policy has been used. This database contains intraday returns data of some of the European government bonds and stock indices. As a statistical model, multiple linear regression has been used. First, regression analysis has only been performed through the days during which ECB communicated with the public via press releases and press conferences. Next, similar analysis has been performed, but the daily data throughout the entire time range have been used instead. Within the period dating since 2015 till 2021, a statistically significant positive effect of the interest rates on the financial stock markets has been proved. During the period since 2007 till 2014, this effect has only been proven in a much weaker form during the analysis of the daily data. Data before the year of 2007 haven’t brought any statistically significant results. Higher sensitivity to the interest rates has been showed in the banking sector, compared to the wide financial sector that includes all financial firms. The mentioned relations that has been found apply only with the control variable of the wide stock market, though. The correct interpretation of the results is thus as follows: Financial and banking sector in Europe reacts less negatively (less positively) on rising (falling) market interest rates in comparison with the European stock market as a whole. Those findings will be of a high value for policy makers, trying to understand impacts of their monetary policy on financial firms and commercial banks. Also, findings of this master’s thesis can be of a high value to both private and institutional investors.