The hormones oestrogen and progesterone are linked to the regulation of happy neurotransmitters such as serotonin, which help to give us a sense of well-being. The changes in these hormone levels may cause a drop in serotonin and, consequently, a negative effect on mood.
In addition, the hormone progesterone (or rather its metabolite allopregnanolone) has anti-anxiety effects and an overall positive effect on mood for many women, so fluctuating levels of this hormone around the menopause transition can contribute to mood changes such as feeling more irritable and anxious.