Impact of monetary policy and unanticipated events on stock market value

Simon Amich, Colby College

Document Type Honors Thesis (Open Access)


This paper discusses the conduct of U.S. monetary policy during the chairmanship of Alan Greenspan . It looks at the evolution of monetary policy in a new, highly technological environment. Through regression analysis the paper estimates the change in stock market value due to the terrorist attacks of September 11th. In order to isolate the event's impact, abnormal returns are calculated for the S&P 500 index by subtracting out returns attributable to overall movements in the stock market. Furthermore, the paper analyzes the stock market's response to monetary policy before and after the attacks, as well as changes in Federal Reserve transparency. It estimates the impact of anticipated and unanticipated monetary policy announcements on S&P 500 value.