U.S. Industry Sector Returns and Monetary Condition

• Main Authors: Hong-Ru Syu, 徐宏儒
• Other Authors: Pei-Hsuan Lee
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/68581015229011933755

碩士 === 國立中正大學 === 財務金融所 === 97 === This study examines the relationship between U.S. industry sector returns and monetary conditions. Changes in discount rate and federal funds rate are used to measure U.S. monetary condition. Furthermore, this study investigates that whether the impacts of monetary condition on industry sector returns are asymmetric across different market conditions. The empirical results suggest that the effects of monetary environment on sector stock returns is stronger for cyclical industry than defensive industry but the relationship between monetary conditions and industry sectors returns has vanished in the recent period. Lastly, the asymmetric effects of monetary condition on sector returns across different market conditions (business cycle condition, stock market condition and credit market condition) are found.