Do markets notice economic policymaker changes? An event study

Thesis title: Do markets notice economic policymaker changes? An event study
Author: Cvejn, Michal
Thesis type: Diploma thesis
Supervisor: Klosová, Anna
Opponents: Meeusen, Wim
Thesis language: English
Abstract:
This paper applies event study analysis on stock and bond market data in 14 European countries between 1990 and 2012 in order to assess market reaction to key economic policymaker changes. The analysis relies on methodological framework is based on article of Kuttner & Posen (2010) and on an original database of political events. The empirical results show that policymaker changes are not reflected in markets as single-day events, rather they are associated with several days of increased volatility following the event. Furthermore, elections are shown to be linked with market volatility on the event day as well as in postevent period.
Keywords: elections; political uncertainty; event study; economic policymaker change
Thesis title: Do markets notice economic policymaker changes? An event study
Author: Cvejn, Michal
Thesis type: Diplomová práce
Supervisor: Klosová, Anna
Opponents: Meeusen, Wim
Thesis language: English
Abstract:
This paper applies event study analysis on stock and bond market data in 14 European countries between 1990 and 2012 in order to assess market reaction to key economic policymaker changes. The analysis relies on methodological framework is based on article of Kuttner & Posen (2010) and on an original database of political events. The empirical results show that policymaker changes are not reflected in markets as single-day events, rather they are associated with several days of increased volatility following the event. Furthermore, elections are shown to be linked with market volatility on the event day as well as in postevent period.
Keywords: elections; political uncertainty; event study; economic policymaker change

Information about study

Study programme: Economics of Globalisation and European Integration
Type of study programme: Magisterský studijní program
Assigned degree: Ing.
Institutions assigning academic degree: Vysoká škola ekonomická v Praze
Faculty: Faculty of International Relations
Department: Department of International Business

Information on submission and defense

Date of assignment: 15. 6. 2012
Date of submission: 20. 12. 2012
Date of defense: 7. 1. 2013
Identifier in the InSIS system: https://insis.vse.cz/zp/38131/podrobnosti

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