The impact of the US QE policy on commercial bank stock returns - balance sheet channel

• Main Authors: Peng, Chung Hau, 彭仲豪
• Other Authors: 江彌修
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/6s962f

碩士 === 國立政治大學 === 金融研究所 === 103 === The thesis focuses on the FED policy – Quantitative Easing (QE) and how the policy affect the S&;P 500 commercial bank sub-index return. Based on past researches, the article includes macroeconomic variables (IP, PMI), term structure variables, bank balance sheet variables (deposits and loans), and a QE dummy variable. With these variables, the outcomes are generated by regression. It can be observed that with the implementation of QE policy, stock returns are negative on average. Moreover, large banks would benefit from provide more commercial loans; on the other hand, small banks would obtain a positive return by lending more consumer loans. Demand deposits are another significant variable which would have negative impact on stock returns.