Analýza vlivu kvantitativního uvolňování na vybrané trhy aktiv

Abstract

This bachelor thesis focuses on the quantitative analysis of the impact of the unconventional monetary policy of the US Federal Reserve System, specifically the quantitative easing (QE) and subsequent quantitative tightening (QT) programs, on the prices of selected classes of financial assets. The theoretical part classifies and characterizes the examined financial markets – ranging from traditional equity and bond markets to commodities and the modern cryptocurrency market. Furthermore, it provides a systematic overview of conventional and unconventional central bank tools and describes the functioning of transmission mechanisms. This is followed by an analytical part based on the empirical examination of historical data on the evolution of the Fed's balance sheet and asset price series between 2007 and 2024. The impact of monetary interventions is first monitored using a cascading time-lag analysis, which reveals the different speed of liquidity absorption across the observed markets. The practical part builds on these findings with a regression analysis that exactly measures the strength and statistical significance of the Fed's balance sheet impact on the market prices of the examined instruments in individual historical phases of the economic cycle. The final section connects the obtained quantitative outputs with theoretical assumptions, thereby empirically confirming the functioning of the portfolio rebalancing channel and demonstrating how central banks in the current era actively shape price formation and capital allocation in global markets.