Monetary Policy Shocks and Sectoral Stock Market Responses: Evidence from Sweden : An event-study analysis of Riksbank and Federal Reserve transmission across Swedish equity sectors, with particular attention to Real Estate

Sammanfattning

This thesis examines how Riksbank and the Federal Reserve monetary policy surprises affect sectoral equity returns in the Swedish stock market, with a particular focus on the Real Estate sector. Using an event-study framework on 103 Riksbank and 115 Federal Open Market Committee announcement days from January 2011 to November 2025, we estimate announcement day return responses across eight Swedish equity sectors. Riksbank surprises generate limited broad-market responses after controlling for global equity movements and exchange rate changes, but the Real Estate sector displays a robustly negative sensitivity across specifications. This is consistent with Sweden's rate-sensitive, highly indebted housing market. Federal Reserve surprises produce a broader sectoral footprint, with Financials and Basic Materials remaining significantly negative after controls, reflecting exposure to global discount-rate and trade channels. A GJR-GARCH robustness analysis confirms that the Riksbank effects for Real Estate and Basic Materials survive after accounting for volatility clustering and fat-tailed innovations, while the Federal Reserve effects are not reproduced in the full-sample mean equation. The results highlight that aggregate equity indices conceal cross-sectoral heterogeneity in monetary policy sensitivity within a small open economy, and that the Real Estate sector constitutes the most robust domestic transmission channel.