Transmission of Monetary Policy Shocks in a Small Open Economy: A Sector-Level PCA-VAR Approach
This thesis investigates the effects of monetary policy shocks, both domestically from the Swedish Riksbank and internationally from the European Central Bank, on eight macro-sensitive Swedish equity indexes over the time period 2004-2024. Employing high-frequency yield changes around policy announcements, we extract level, slope and curvature factors via principal component analysis and use these
