High Rates, Low Chips? The Semiconductor Sector’s Sensitivity to Monetary Policy Shocks
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2025-07-04
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en
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This thesis investigates the effect of US monetary policy shocks on semiconductor equity returns employing a monetary policy decomposition model. Surprise federal funds rate changes, identified through futures contracts, are found to negatively affect stock performance of semiconductor firms more than manufacturing firms. Subsamples of semiconductor ETFs do not exhibit a significant link with unexpected monetary policy. A traditional event study approach reveals positive abnormal stock activity in response to different FOMC decisions, with strong evidence for rate hikes, weaker responses when rates are maintained, and no evidence for rate cuts. Cross-sectional analyses indicate no link between firm-level variables and abnormal returns on days of monetary policy announcements. These findings suggest limited sensitivity to Fed policy changes, signifying the sector is a stable investment class.
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Faculteit der Managementwetenschappen