چکیده مقاله
This study examines the impact of Federal Reserve monetary policy announcements on abnormal returns AR and US stock market volatility, focusing on the S&P 500, Dow Jones, and Nasdaq indices The main objective is to analyze the role of the expectations channel and the surprise effect in market reactions and to compare market behavior during recessions and booms The statistical population includes all trading days associated with Federal Open Market Committee FOMC meetings during the research period, and daily closing price data of the indices is used as the basis for calculations The research methodology is based on event study by calculating AR and CAR in time windows before and after the announcement date; reactions were also separated by policy type expansionary or contractionary and economic conditions recession or boom The findings showed that policy announcements affect market expectations through informal tone and signaling, even in the absence of an explicit change in interest rates In recessions, expansionary policies led to rapid but short lived CAR growth, and in booms, contractionary policies produced a more robust negative response but with more stable volatility The most immediate sensitivity and reaction was observed in the Nasdaq index due to the dominance of technology industries The element of surprise was identified as the most important factor amplifying the reactions, such that the deviation of decisions from market forecasts led to volatile jumps and strong abnormal returns The conclusion shows that careful management of expectations can reduce the scope of unpredictable reactions Based on these results, it is suggested that central banks adopt a transparent and timed communication approach, monitor sectoral effects, and consider coordination with trading partners' policies in open economies For future research, it is suggested to combine event study with volatility forecasting models such as GARCH and EGARCH to analyze asymmetric effects and long term dynamics
کلیدواژهها
نویسندگان
Aliasghar asgharinia
Master of international economics and finance, Otto von Guericke University of Magdeburg
شیوه ارجاع
asgharinia, Aliasghar,1404,The impact of Federal Reserve policy announcements on stock market volatility,1St International conference on new horizons in management,business, economics and humanities
ارائهشده در
مجموعه مقالات اولین کنفرانس بین المللی افق های نوین در مدیریت، تجارت، اقتصاد و علوم انسانی10 آذر 1404