Thesis (Ph. D.)--University of Washington, 2005. / Vita. Includes bibliographical references (p. 77-82).

Recent decades, growing trends in economic inequality have been observed across the world. While the underlying causes are many, there is a recent and growing field of research discussing the potential effects that changes in policy rates and other kinds of economic policy may have on economic inequality. While results among the existing pool of research varies, there seems to be a common perception that economic policy, and changes in policy rates in particular, does affect economic inequality. By conducting a panel data study of 34 countries over the course of 30 years, this thesis finds significant decreases in economic equality, measured using 3 different inequality measurements, following increases in the policy rate. The effects are similar in magnitude for all inequality measurements, however, due to the estimated effects being extremely small in relation to the context, the economic significance is initially questioned. By further analyzing the effects in terms of standard deviations, the thesis finds that estimated effects are of reasonable magnitude, and thus, the economic significance of the study is confirmed.

The reaction of asset prices to monetary policy is essential for investors andpolicymakers. However, previous research on the area in Sweden is limited, and there isno evidence of any impact on stock market prices from repo rate changes. This study estimates how stock market indices respond to repo rate changes, including different sector indices. The repo rate is the primary interest rate tool for the Swedish central bank. The utilised methodology is based on previous studies and follows a regression methodology. The paper's findings are that some sectoral stock market indices are affected by changes in repo rate. Bank and Financial sector indexes are positivelyaffected, while Health, Technology, Construction & Materials, Mid Cap, Small Cap,and Financial Services indices are negative. The result is estimated using two different variables for expectations of repo rate changes. The results are justified using a larger sample, including all monetary policy meetings. The results do only have a slight change in coefficients. This paper can be used to further investigate the impact of monetary policy on asset prices in Sweden.

The Riksbank’s purpose with the policy rate is to create price stability in the economy and achieve the inflation target. The Swedish real estate market is interest rate sensitive, thereby affected by the economy in Sweden. This thesis investigates the policy rates impact on the volatility of the Swedish real estate market, during the years 2002-2024, using an event study approach with panel regressions. Further, if an increase or decrease of the policy rate have a greater impact of the volatility. By using a quantitative method this thesis uses historical data representing each firm as well as some other independent variables, as OMX Stockholm Real Estate GI. The study provided evidence that the policy rate has an impact on the volatility of the Swedish real estate market, as the majority of the events demonstrated a relationship between the policy rate and the volatility. However, the thesis could not conclude if an increase or decrease of the policy rates has had a greater impact.

In Sweden variable-rate mortgages are relatively common. Furthermore, householdindebtedness is high in relation to other nations within the European Union. Therefore,monetary policy has a stronger effect on the economy due to the household sensitivityregarding interest rates. During times of changes in the policy rate, the expectation is that theimpact on consumption is greater, because of a stronger effect due to higher sensitivity of theinterest rates. Moreover, consumption expenditures make up a large part of the Swedisheconomy, with approximately half of the gross domestic product consisting of householdconsumption. Because of the mentioned reasons it is important and compelling to examinethe relationship between the structure of the mortgage market, monetary policy andhousehold consumption. Thus, we investigate how the mortgage term affects householdconsumption during times the policy rate is changed. To answer the question an empirical method is utilized. The data used is quantitativesecondary data gathered from different sources and coordinated. The data material spans aperiod of roughly 17 years which contains three periods when the Swedish central bankchanged the policy rate and the observations are on a monthly basis, from january 2006 untilseptember 2023. To perform the analysis the statistical software IBM SPSS is used. Theregression analysis is implemented through the “General linear model”. The dependentvariable is household consumption. The explanatory variables include the proportion ofvariable-rate mortgages, disposable income, the policy rate as well as inflation. The policyrate and inflation are also lagged backward in time by one year respectively. The result of the regression analysis implicates that the effects of all the explanatory variablesin the study are statistically significant. As regards the policy rate though, only the laggedversion of the variable is statistically significant. The share of variable-rate mortgages, whichis a measurement of the mortgage term, has a negative effect on household consumption. Theeffect of disposable income is positive. Furthermore, both the policy rate and its laggedversion have negative effects on household consumption. In contrast, inflation has a positiveeffect while the lagged version of inflation has a negative effect on household consumptionwhich is larger in magnitude.

Fastighetsmarknaden i Sverige har under en lång tid bestått av en uppåtstigande marknad med låg ränta, denna trend bröts under 2023 där räntorna började höjas och marknaden började vända. Vid en tid där priset på bostäder inte självklart stiger blir det intressant att undersöka vilka faktorer som påverkar priset på bostäder. Priset på en bostad är en komplex uppsättning av flera faktorer såsom skick, läge och marknad. Inom beteendeekonomin har det uppkommit fler idéer om vad som kan påverka priset på en bostad. Heuristik, eller mentala genvägar, har också en effekt vid värdering och köp av bostad. En typ av heuristik är förankringseffekten som denna studie hanterar. Studien undersöker om det finns en ankare i form av utgångspris som påverkar slutpriset och om styrräntan har en roll i hur stark förankringseffekten är. Analysen har gjorts genom en kvantitativ metod med en statistisk analys där tester genomförts för att se skillnaden i utgångspris och slutpris under år 2021 och år 2023 där skillnaden är styrräntan. Datan om utgångspris och slutpris har samlats in via hemsidan Hemnet och det geografiska området är Slottstaden i Malmö. Slutsatsen är att det finns en signifikant skillnad mellan tidsperioderna som kan förklaras av förankringseffekten där styrräntan påverkar dess inverkan. / The real estate market in Sweden has for a long time consisted of a rising market with low interest rates, this trend was broken in 2023 where interest rates began to rise and the market began to turn. At a time when the price of housing does not obviously rise, it becomes interesting to investigate which factors affect the price of housing. The price of a home is a complex set of several factors such as condition, location and market. Within behavioral economics, more ideas have emerged about what can affect the price of a home. Heuristics, or mental shortcuts, also have an effect when evaluating and buying a home. One type of heuristic is the anchoring effect that this study addresses. The study examines whether there is an anchor in the form of starting price that affects the final price and whether the policy rate has a role in how strong the anchoring effect is. The analysis has been done through a quantitative method with a statistical analysis where you test the difference in starting price and closing price in the year 2021 and the year 2023 where the difference is the policy rate. Data on starting price and closing price have been collected via the website Hemnet and the geographical area is the Slottsstaden in Malmö. The conclusion is that there is a significant difference between the time periods which can be explained by the anchoring effect where the policy rate affects its impact.

Denna studie undersöker sambandet mellan penningpolitiska uttalanden från Sveriges centralbank och börsutvecklingen, med särskilt fokus på annonsering av styrränta och avkastningen för bolag underliggande Stockholmsbörsens storbolagsindex, OMXS30. Syftet med studien är att undersöka om det föreligger abnormala avkastningar i samband med Riksbankens räntebesked, där två forskningsfrågor har formulerats som adresserar den övergripande marknadsreaktionen samt branschspecifika effekter. För att analysera dessa samband har ett antal hypoteser utformats och testats med hjälp av en eventstudie-metod. Denna metod innebar genomförande av statistiska tester baserade på insamlade sekundärdata i form av historiska aktiekurser under två perioder, 2015-2016 respektive 2022-2023. Vidare har studien granskat den effektiva marknadshypotesen, där resultaten indikerade en generell avsaknad av statistiskt signifikanta samband mellan räntebesked och abnormala avkastningar vilket stödjer teorin om en effektiv marknad. Samtidigt identifierades ett antal sektorsspecifika mönster, där industrisektorn visade viss känslighet för räntesänkningar medan finanssektorn uppvisade ett antal observationer med abnormala avkastningar i samband med räntehöjningar. Sammanfattningsvis finner studien begränsad evidens för ett direkt samband mellan Riksbankens räntebesked och aktieavkastningar inom OMXS30, vilket antyder att marknaden effektivt inkorporerar denna information i aktiekurserna. Slutligen föreslås några rekommendationer för framtida forskning för att vidare undersöka dessa dynamiker och deras konsekvenser för investerare. Dessa innefattar bland annat användningen av ett bredare urval av branscher och företag, samt inkludera en multivariatanalys samt en sentimentanalys. / This study examines the relationship between monetary policy statements from the Swedish central bank and stock market performance, with a particular focus on the policy rate announcements and the returns of companies comprising the OMXS30 index. The purpose of the study is to investigate if abnormal returns occur around Riksbank's interest rate decisions, where two research questions were formulated addressing the overall market reaction and industry-specific effects. To analyze these relationships, a number of hypotheses have been developed and tested using an event study method. This method involved conducting statistical tests based on collected secondary data in the form of historical stock prices over two periods, 2015-2016 and 2022-2023. Furthermore, the study examined the Efficient Market Hypothesis, where the results indicated a general lack of statistically significant relationships between interest rate announcements and abnormal returns, supporting the theory of an efficient market. However, sector-specific patterns were identified, with the industrial sector showing some sensitivity to interest rate cuts while the financial sector showed a number of observations with abnormal returns associated with interest rate hikes. In summary, the study finds limited evidence for a direct relationship between the Riksbank's interest rate announcements and stock returns within OMXS30, suggesting that the market effectively incorporates this information into stock prices. To conclude, some recommendations for future research are proposed to further explore these dynamics and their implications for investors. These include using a broader selection of industries and companies, as well as incorporating multivariate analysis and sentiment analysis.

We investigate the practical use of Taylor-type rules in Trinidad and Tobago, which is in the process of implementing market based monetary policy and seeks to implement flexible inflation targeting in the presence of a managed exchange rate. This is motivated by the idea that normative Taylor rules can be shaped by the practical experience of developing countries. We find that the inflation – exchange rate nexus is strong, hence the country may be unwilling to allow the exchange rate to float freely. We contend that despite weak market development the Taylor rule can still be applied as the central bank is able to use moral suasion to achieve full pass through of the policy rate to the market rate. Our evidence rejects Galí and Monacelli’s (2005) argument that the optimal monetary policy rule for the open economy is isomorphic for a closed economy. Rather, our evidence suggests that the rule for the open economy allows for lower variability when the rule is augmented by the real exchange rate as in Taylor (2001). We also reject Galí and Monacelli’s (2005) hypothesis that domestic inflation is optimal for inclusion in the Taylor-type rule. Instead we find that core CPI inflation leads to lower variability. Additionally, our evidence suggests that the monetary rule, when applied to Trinidad and Tobago, is accommodating to the US Federal Reserve rate. Further, we expand the work of Martin and Milas (2010) which considered the pass through of the policy rate to the interbank rate in the presence of risk and liquidity. By extending the transmission to the market lending rate, we are able to go beyond those disruptive factors by considering excess liquidity and spillovers of international economic disturbances. We found that these shocks are significant for Trinidad and Tobago, but it is not significant enough to disrupt the pass through. As a result, full pass through was robust to the presence of these disruptive factors.

There is no single commonly adapted model that explains the influence that various monetary policy instruments carry for the economy. During 2011-2017, the Swedish inflation rate has remained below the 2 percent target which has led the Riksbank to take measures aimed at stimulating the inflation. As of May 2018, the repo rate has experienced a number of decreases and is now at 􀀀0:50% which represents an unprecedentedly low level. With the inflation rate remaining below the target whilst the housing market has experienced substantial growth and recent decline, the question arises regarding what impact the repo rate exerts on various macroeconomic measures. In this paper, a statistical time series analysis is conducted using a Vector Autoregression model and the impulse responses are studied. A model of 7 economic variables is constructed to specially study the effect of the repo rate on employment and housing prices. Results demonstrate that rational expectations exist in the economy. Furthermore, results show that the repo rate influences factors affected by inflation rapidly, exerting maximum influence during the first year after the shock. On the other hand, real variables based on quantitative measures that are adjusted for inflation experience the greatest influence of the repo rate after a delay of 6 to 7 quarters. Employment experiences the greatest negative response to a repo rate shock after 7 quarters, with a magnitude of 0.317 standard deviations per standard deviation in the repo rate shock. Housing prices experience the greatest negative response to a repo rate shock after 4 quarters, with a magnitude of 0.209 standard deviations per standard deviation in the repo rate shock. / Det finns ingen allmänt vedertagen modell som beskriver olika penningpolitiska instruments påverkan på ekonomin. Under 2011-2017 har Sveriges inflationstakt legat under 2-procentsmålet vilket har fått Riksbanken att vidta åtgärder i syfte att stimulera inflationen. Fram till maj 2018 har upprepade sänkningar av reporäntan genomförts och den ligger i dagsläget på 0:50% vilket är den lägsta nivån någonsin. Då inflationstakten inte nått målet samtidigt som bostadsmarknaden har upplevt kraftig tillväxt och nylig nedgång uppstår frågan gällande vilken effekt som reporäntan utlovar på diverse makroekonomiska mått. I denna rapport genomförs en statistisk tidsserieanalys med en vektorautoregression och impuls-responserna studeras. En modell med 7 ekonomiska variabler skapas för att specifikt studera effekten av reporäntan på sysselsättning och bostadspriser. Resultaten visar att rationella förväntningar finns i ekonomin. Vidare visar resultaten att reporäntan influerar inflationspåverkade variabler omgående, med maximal påverkan inom det första året efter chocken. Å andra sidan påverkas volymbaserade variabler som justeras för inflation maximalt först efter en fördröjning på 6 till 7 kvartal. Sysselsättningen upplever störst negativ påverkan från en reporäntechock efter 7 kvartal motsvarande 0.317 standardavvikelser per standardavvikelse i chocken. Bostadspriser upplever störst negativ påverkan från en reporäntechock efter 4 kvartal motsvarande 0.209 standardavvikelser per standardavvikelse i chocken.

Områdesbeskrivning: IPO-marknaden kan undersökas på olika sätt. Varför underprissättning är så förhärskande, om den går i cykler eller vad det är som påverkar den. Vi vill undersöka den svenska IPO-marknaden under perioden 2006-2020 och om den påverkas av makroekonomiska faktorer såsom inflation eller styrränta. Denna studie är inspirerad av tidigare forskning utförd av Tran och Jeon (2011) som undersöker om det finns samband mellan makroekonomiska faktorer och IPO-marknadens aktivitet på den amerikanska marknaden. Är det så att olika IPO-marknader påverkas av olika faktorer på unika sätt eller är IPO-marknader världen över homogena? Vi försöker dessutom framställa en modell som beskriver det mest gynnsamma förhållandet att genomföra en IPO under om målet är att anskaffa mer kapital. Syfte: Uppsatsen syfte är att undersöka den svenska IPO-marknadens aktivitet under perioden 2006-2020. Samt undersöka i vilken utsträckning den svenska IPO-marknadens aktiviteten påverkas av makroekonomiska faktorer. Med vår undersökning av de makroekonomiska faktorerna som grund kan vi således undersöka vilka makroekonomiska förhållanden som är mest gynnsamma för företag i Sverige att genomföra en IPO under om målet är att anskaffa mer kapital. Metod: En kvantitativ metod appliceras i denna uppsats för att besvara våra forskningsfrågor och datan vi samlar in analyseras med hjälp utav en regressionsanalys. Vi samlar in vårt datamaterial genom att läsa igenom årsredovisningar från de företag som genomfört en IPO under den tidsperioden vi undersöker. Hypoteserna formuleras utifrån tidigare forskning och ämnar att undersöka om de makroekonomiska faktorerna har ett positivt eller negativt samband med IPO-marknadsaktivitet. Resultat: Resultaten som vi finner är att det finns signifikanta samband mellan den svenska IPO-marknadens aktivitet och makroekonomiska faktorer. Vi identifierar ett förhållande som kan beskrivas som det mest gynnsamma makroekonomiska förhållandet utifrån vår modell. Begränsningar: Vår uppsats är begränsad till tidsperiod 2006-2020 samt den svenska IPO-marknaden. På grund av att viss information kring hur mycket kapital ett företag anskaffar vid sin IPO saknas så begränsas vårt urval. / Area description: IPO markets can be studied in different ways. Why underpricing is so prevalent, if the market moves in cycles or what influences the market. We want to study the Swedish IPO market during the period of 2006-2020 and if it is influenced by macroeconomic factors like inflation or the policy rate. This study is influenced by the work done by Tran and Jeon (2011) who examines if there are any relationships between macroeconomic factors and IPO market activity on the American PO market. Is it that different IPO markets are influenced by different factors in unique ways or are the IPO markets around the globe homogeneous. We try to produce a model that describes the most favourable environment to implement an IPO in if the goal is to acquire more capital. Purpose: The purpose of the thesis is to examine the activity of the Swedish IPO market during the period 2006-2020 and examine the extent to which the activity of the Swedish IPO market is affected by macroeconomic factors. Based on our study of the macroeconomic factors, we can therefore examine which macroeconomic conditions are most favourable for companies in Sweden to carry out an IPO under the goal of raising more capital.  Method: A quantitative method is applied in this thesis to answer our research questions and the data we collect is analysed with the help of a regression analysis. We collect our data by reading through annual reports from the companies that conducted an IPO during the period we are investigating. The hypotheses are formulated based on previous research and intend to investigate whether the macroeconomic factors have a positive or negative relationship with IPO market activity.  Results: The results we find is that there are significant relationships between the activity of the Swedish IPO market and macroeconomic factors. We identify a ratio that can be described as the most favourable macroeconomic ratio based on our model.  Limitations: Our thesis is limited to the period 2006-2020 and the Swedish IPO market. Due to the lack of certain information about how much capital a company raises at its IPO, our selection is limited.