| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 101 === This paper explores the effectiveness of changes in federal fund target rate on several investor sentiment related variable in different market regimes. Our empirical results show that in full data period the unexpected federal fund target rate changes have significant effect on stock returns, investor sentiment. Most of their effects are owing to the level surprises, while timing surprises have virtually no influence on stock, bond and credit market. In the more recent period from 2005 to 2012, our results reveal that the monetary policy effect regarding target rate has disappeared for both stock returns and investor sentiments, but the level surprises still have impact on both CDS and bond indices.
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