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FED’İN UYGULADIĞI GELENEKSEL OLMAYAN PARA POLİTİKASI UYGULAMALARININ TÜRKİYE EKONOMİSİNDE VARLIK PİYASALARINA ETKİSİ

Year 2020, Volume: 12 Issue: 22, 228 - 248, 01.01.2020
https://doi.org/10.14784/marufacd.688417

Abstract

FED, 2008 finansal krizi sürecinde, ABD finans piyasalarında yaşanan likidite krizini aşmak için para politikası uygulamalarında önemli bir değişime gitmiştir. Geleneksel olmayan para politikası olarak bilinen bu uygulamalar Amerikan finans piyasalarında daha önce görülmemiş büyüklükte bir likidite genişlemesine neden olmuştur. Uygulanan yeni politika araçlarının ABD ekonomisi ile birlikte diğer ülke ekonomileri üzerinde de önemli etkileri olmuştur. Bu doğrultuda, çalışmanın amacı FED geleneksel olmayan para politikasının Türkiye varlık piyasalarına etkilerinin araştırılmasıdır. Bu çerçevede, uzun vadeli tahvil ve hisse senedi piyasası üzerindeki etki ampirik olarak araştırılmaktadır. Ekonometrik analizde sınır testi ve ARDL yaklaşımı kullanılmıştır. Analiz dönemi 2007:12-2014:10 dönemleri kapsamakta ve analizler aylık veriler kullanılarak gerçekleştirilmektedir. Ampirik sonuçlar, FED geleneksel olmayan para politikasının Türkiye ekonomisinde uzun vadeli tahvil faizlerini düşürücü, hisse senedi fiyatlarını artırıcı bir etkide bulunduğunu göstermiştir. Bununla birlikte, faiz oranları üzerinde ortaya çıkan etkinin hisse senedi fiyatlarına göre daha belirgin olduğu görülmektedir.

References

  • ADAM, Klaus ve BILL, Roberto M. (2006). Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates. Journal of Money Credit and Banking, 38, 1877-1905. ALBAGLI, Elias, CEBALLOS, Luis, CLARO, Sebastian ve ROMERO, Damian (2019). Channels of US Monetary Policy Spillovers into International Bond Markets. Journal of Financial Economics. In Press, Corrected Proof. ANAYA, Pablo, HACHULA, Michael ve OFFERMANNS, Christian (2017). Spillovers of U.S. Unconventional Monetary Policy to Emerging Markets: The Role of Capital Flows. Journal of International Money and Finance, 73, 275-295. AUERBACH, Alan J. ve OBSTFELD, Maurice (2003). The Case for Open Market Purchases in a Liquidity Trap. NBER Working Paper, No.9814. BALI, Selçuk ve CİNEL, M. Ozan (2011). Altın Fiyatlarının İMKB 100 Endeksi’ne Etkisi ve Bu Etkinin Ölçümlenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(3-4), 45-63. BARATA, Joao, BARROSO, Riberio B., KOHLSCHEEN, Emanuel W. ve LIMA, Eduardo J. (2014). What Have Central Banks in EMEs Learned about the International Transmission of Monetary Policy in Recent Years?. BIS Papers, No.78f. BASHIR, Usman, YU, Yugang, HUSSAIN, Muntazir ve ZEBENDE, Gilney F. (2016). Do Foreign Exchange and Equity Markets Co-Move in Latin American Region? Detrended Cross-correlation Approach. Physica A, 462, 889-897. BAUER, Michael D. ve NEELY, Christopher. J. (2013). International Channels of the Fed’s Unconventional Monetary Policy. Federal Reserve Bank of St. Louis Working Paper Series, No.2012-028D. BERNANKE, Ben S. (2012). Monetary Policy Since the Onset of the Crisis. Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming. BERNHARD, Severin ve EBNER, Till (2017). Cross-Border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices. Journal of International Money and Finance, 75, 109-127. BHATTARAI, Saroj, CHATTERJEE, Arpita ve PARK, Woong Yong (2014). Effects of US Quantitative Easing on Emerging Market Economies. Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper, No.255. BORIO, Claudio ve DISYATAT, Piti (2010). Unconventional Monetary Policy: An Appraisal. The Manchester School, 78, 53-89. BORIO, Claudio, GALATI, Gabriele ve HEATH, Alexandra (2008). FX Reserve Management: Trends and Challenges. BIS Papers, No.40. BOWMAN, David, LONDONO, Juan M. ve SAPRIZA, Horacio (2014). U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies. International Finance Discussion Papers, No.1109. CARRERA, Cesar, FORERO, Fernando P. ve RAMIREZ-RONDAN, Nelson (2015). Effects of U.S. Quantitative Easing on Latin American Economies. Peruvian Economic Association Working Paper, No.35. CHEN, Jiaqian, MANCINI-GRIFFOLI, Tommaso ve SAHAY, Ratna (2014). Spillovers from United States Monetary Policy on Emerging Markets: Different This Time?. IMF Working Paper, No.240. CHEN, Qianying, FILARDO, Aandrew, HE, Dong ve ZHU, Feng (2015). Financial Crisis, US Unconventional Monetary Policy and International Spillovers. BISWorking Papers, No.494. CHEN, Qianying, FILARDO, Andrew, HE, Dong ve ZHU, Feng (2012). International Spillovers of Central Bank Balance Sheet Policies. BIS Working Papers, No.66. CHEN, Qianying, LOMBARDI, Marco J., ROSS, Alex ve ZHU, F. (2017). Global Impact of US and Euro Area Unconventional Monetary Policies: A Comparison. BIS Working Papers, No. 610. CLARIDA, Richard, GALI, Jordi ve GERTLER, Mark (1999). The Science of Monetary Policy. Journal of Economic Literature, 37, 1661-1707. EGGERTSSON, Gauti ve WOODFORD, Michael (2003). The Zero Bound on Interest Rates and Optimal Monetary Policy. Brookings Papers on Economic Activity, 1, 139-211. FAWLEY, Brett W. ve NEELY, Christopher J. (2013). Four Stories of Quantitative Easing. Federal Reserve Bank of St. Louis Review, 95(1), 51-88. FED. (2015). Monetary Policy-Open Market Operations. http://www.federalreserve.gov/monetarypolicy/bst_openmarketops.htm, (15.04.2015). FRATZSCHER, Marcel, LO DUCA, Marco ve STRAUB, Roland (2013). On the International Spillovers of US Quantitative Easing. European Central Bank Working Paper Series. No: 1557. GERTLER, Mark (2013). Monetary Policy After August 2007. The Journal of Economic Education, 44(4), 329-338. GILCHRIST, Simon, YUE, Vivian Z. ve ZKRAJSEK, Egon (2014). U.S Monetary Policy and Foreign Bond Yields. Presented at the 15th Jacques Polak Annual Research Conference. Washington. GLICK, Reuven ve LEDUC, Sylvain (2012). Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets. Journal of International Money and Finance , 31(8), 2078-2101. GOODFRIEND, Marvin (2000). Overcoming the Zero Bound on Interest Rate Policy. Journal of Money, Credit and Banking, 32 (4), 1007-1035. HAJEK, Jan ve HORVATH, Roman (2018). International Spillovers of (Un)Conventional Monetary Policy: the Effect of the ECB and the US FED on Non-Euro EU Countries. Economic Systems, 42, 91-105. KIM, Jun Il (2014). The International Transmission of Monetary Policy: Korea’s Experience. BIS Papers, No.78. KOHN, Donald L.ve SACK, Brian P. (2003). Central Bank Talk: Does It Matter and Why?. FED Working Paper. No.55. KRUGMAN, Paul R. (1998). It’s Baaack: Japan’s Slump and the Return of the Liquidity Trap. Brookings Papers on Economic Activity, 2, 137-187. MIYAJIMA, Ken, MOHANTY, M. S. ve YETMAN, James (2014). Spillovers of US Unconventional Monetary Policy to Asia: The Role of Long-term Interest Rates. BIS Working Papers, No: 478. MIYAKOSHI, Tatsuyoshi ve SHIMADA, Junji ve LI, Kui-Wai (2017). The Dynamic Effects of Quantitative Easing on Stock Price: Evidence from Asian Emerging Markets, 2001–2016. International Review of Economics and Finance, 49, 548-567. MOORE, Jeffrey, NAM, Sunwoo, SUH, Myeongguk ve TEPPER, Alexander (2013). Estimating the Impacts of US LSAP's on Emerging Market Economies' Local Currency Bond Markets. Federal Reserve Bank of New York Staff Reports, No.595. NEELY, Christopher J. (2010). Unconventional Monetary Policy Had Large International Effects. Federal Reserve Bank of St. Louis Working Paper Series. No.2010-018E. NEW YORK FED. (2015). Maiden Lane Transactions. http://www.newyorkfed.org/markets/maidenlane.html, (26.06.2015). PANAIT, Lulian (2014). Romanian Financial Market's Reaction to FED Tapering Talk During 2013. Financial Studies, 18(4), 19-30. PESARAN, M. Hashem, SHIN, Yongcheol ve SMITH, Richard J. (2001). Bound Testing Approaches to The Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326. SEYİDOĞLU Halil (2003). Uluslararası İktisat, Teori, Politika ve Uygulama. Genişletilmiş 15. Baskı.İstanbul: Güzem Yayınları. TILLMANN, Peter (2014). Unconventional Monetary Policy Shocks and the Spillovers to Emerging Markets. Hong Kong Institute for Monetary Research Working Paper, No.18/2014. VENKATARAMANAN, Sharadha (2014). Impact of Quantitative Easing on Emerging Markets: A Study on Indian Markets. Yayımlanmamış Yüksek Lisans Tezi, Liverpool John Moores University.
  • İnternet Kaynakları FED. (2016). 2 Şubat 2016’da https://www.stlouisfed.org/’dan ulaşıldı. BORSA İSTANBUL. (2016). 2 Şubat 2016’da https://www.borsaistanbul.com/’dan ulaşıldı. TCMB. (2016). 2 Şubat 2016’da https://www.tcmb.gov.tr/’dan ulaşıldı. INVESTING. (2016). 2 Şubat 2016’da https://tr.investing.com/’dan ulaşıldı.
Year 2020, Volume: 12 Issue: 22, 228 - 248, 01.01.2020
https://doi.org/10.14784/marufacd.688417

Abstract

References

  • ADAM, Klaus ve BILL, Roberto M. (2006). Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates. Journal of Money Credit and Banking, 38, 1877-1905. ALBAGLI, Elias, CEBALLOS, Luis, CLARO, Sebastian ve ROMERO, Damian (2019). Channels of US Monetary Policy Spillovers into International Bond Markets. Journal of Financial Economics. In Press, Corrected Proof. ANAYA, Pablo, HACHULA, Michael ve OFFERMANNS, Christian (2017). Spillovers of U.S. Unconventional Monetary Policy to Emerging Markets: The Role of Capital Flows. Journal of International Money and Finance, 73, 275-295. AUERBACH, Alan J. ve OBSTFELD, Maurice (2003). The Case for Open Market Purchases in a Liquidity Trap. NBER Working Paper, No.9814. BALI, Selçuk ve CİNEL, M. Ozan (2011). Altın Fiyatlarının İMKB 100 Endeksi’ne Etkisi ve Bu Etkinin Ölçümlenmesi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 25(3-4), 45-63. BARATA, Joao, BARROSO, Riberio B., KOHLSCHEEN, Emanuel W. ve LIMA, Eduardo J. (2014). What Have Central Banks in EMEs Learned about the International Transmission of Monetary Policy in Recent Years?. BIS Papers, No.78f. BASHIR, Usman, YU, Yugang, HUSSAIN, Muntazir ve ZEBENDE, Gilney F. (2016). Do Foreign Exchange and Equity Markets Co-Move in Latin American Region? Detrended Cross-correlation Approach. Physica A, 462, 889-897. BAUER, Michael D. ve NEELY, Christopher. J. (2013). International Channels of the Fed’s Unconventional Monetary Policy. Federal Reserve Bank of St. Louis Working Paper Series, No.2012-028D. BERNANKE, Ben S. (2012). Monetary Policy Since the Onset of the Crisis. Federal Reserve Bank of Kansas City Economic Symposium, Jackson Hole, Wyoming. BERNHARD, Severin ve EBNER, Till (2017). Cross-Border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices. Journal of International Money and Finance, 75, 109-127. BHATTARAI, Saroj, CHATTERJEE, Arpita ve PARK, Woong Yong (2014). Effects of US Quantitative Easing on Emerging Market Economies. Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper, No.255. BORIO, Claudio ve DISYATAT, Piti (2010). Unconventional Monetary Policy: An Appraisal. The Manchester School, 78, 53-89. BORIO, Claudio, GALATI, Gabriele ve HEATH, Alexandra (2008). FX Reserve Management: Trends and Challenges. BIS Papers, No.40. BOWMAN, David, LONDONO, Juan M. ve SAPRIZA, Horacio (2014). U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies. International Finance Discussion Papers, No.1109. CARRERA, Cesar, FORERO, Fernando P. ve RAMIREZ-RONDAN, Nelson (2015). Effects of U.S. Quantitative Easing on Latin American Economies. Peruvian Economic Association Working Paper, No.35. CHEN, Jiaqian, MANCINI-GRIFFOLI, Tommaso ve SAHAY, Ratna (2014). Spillovers from United States Monetary Policy on Emerging Markets: Different This Time?. IMF Working Paper, No.240. CHEN, Qianying, FILARDO, Aandrew, HE, Dong ve ZHU, Feng (2015). Financial Crisis, US Unconventional Monetary Policy and International Spillovers. BISWorking Papers, No.494. CHEN, Qianying, FILARDO, Andrew, HE, Dong ve ZHU, Feng (2012). International Spillovers of Central Bank Balance Sheet Policies. BIS Working Papers, No.66. CHEN, Qianying, LOMBARDI, Marco J., ROSS, Alex ve ZHU, F. (2017). Global Impact of US and Euro Area Unconventional Monetary Policies: A Comparison. BIS Working Papers, No. 610. CLARIDA, Richard, GALI, Jordi ve GERTLER, Mark (1999). The Science of Monetary Policy. Journal of Economic Literature, 37, 1661-1707. EGGERTSSON, Gauti ve WOODFORD, Michael (2003). The Zero Bound on Interest Rates and Optimal Monetary Policy. Brookings Papers on Economic Activity, 1, 139-211. FAWLEY, Brett W. ve NEELY, Christopher J. (2013). Four Stories of Quantitative Easing. Federal Reserve Bank of St. Louis Review, 95(1), 51-88. FED. (2015). Monetary Policy-Open Market Operations. http://www.federalreserve.gov/monetarypolicy/bst_openmarketops.htm, (15.04.2015). FRATZSCHER, Marcel, LO DUCA, Marco ve STRAUB, Roland (2013). On the International Spillovers of US Quantitative Easing. European Central Bank Working Paper Series. No: 1557. GERTLER, Mark (2013). Monetary Policy After August 2007. The Journal of Economic Education, 44(4), 329-338. GILCHRIST, Simon, YUE, Vivian Z. ve ZKRAJSEK, Egon (2014). U.S Monetary Policy and Foreign Bond Yields. Presented at the 15th Jacques Polak Annual Research Conference. Washington. GLICK, Reuven ve LEDUC, Sylvain (2012). Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets. Journal of International Money and Finance , 31(8), 2078-2101. GOODFRIEND, Marvin (2000). Overcoming the Zero Bound on Interest Rate Policy. Journal of Money, Credit and Banking, 32 (4), 1007-1035. HAJEK, Jan ve HORVATH, Roman (2018). International Spillovers of (Un)Conventional Monetary Policy: the Effect of the ECB and the US FED on Non-Euro EU Countries. Economic Systems, 42, 91-105. KIM, Jun Il (2014). The International Transmission of Monetary Policy: Korea’s Experience. BIS Papers, No.78. KOHN, Donald L.ve SACK, Brian P. (2003). Central Bank Talk: Does It Matter and Why?. FED Working Paper. No.55. KRUGMAN, Paul R. (1998). It’s Baaack: Japan’s Slump and the Return of the Liquidity Trap. Brookings Papers on Economic Activity, 2, 137-187. MIYAJIMA, Ken, MOHANTY, M. S. ve YETMAN, James (2014). Spillovers of US Unconventional Monetary Policy to Asia: The Role of Long-term Interest Rates. BIS Working Papers, No: 478. MIYAKOSHI, Tatsuyoshi ve SHIMADA, Junji ve LI, Kui-Wai (2017). The Dynamic Effects of Quantitative Easing on Stock Price: Evidence from Asian Emerging Markets, 2001–2016. International Review of Economics and Finance, 49, 548-567. MOORE, Jeffrey, NAM, Sunwoo, SUH, Myeongguk ve TEPPER, Alexander (2013). Estimating the Impacts of US LSAP's on Emerging Market Economies' Local Currency Bond Markets. Federal Reserve Bank of New York Staff Reports, No.595. NEELY, Christopher J. (2010). Unconventional Monetary Policy Had Large International Effects. Federal Reserve Bank of St. Louis Working Paper Series. No.2010-018E. NEW YORK FED. (2015). Maiden Lane Transactions. http://www.newyorkfed.org/markets/maidenlane.html, (26.06.2015). PANAIT, Lulian (2014). Romanian Financial Market's Reaction to FED Tapering Talk During 2013. Financial Studies, 18(4), 19-30. PESARAN, M. Hashem, SHIN, Yongcheol ve SMITH, Richard J. (2001). Bound Testing Approaches to The Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326. SEYİDOĞLU Halil (2003). Uluslararası İktisat, Teori, Politika ve Uygulama. Genişletilmiş 15. Baskı.İstanbul: Güzem Yayınları. TILLMANN, Peter (2014). Unconventional Monetary Policy Shocks and the Spillovers to Emerging Markets. Hong Kong Institute for Monetary Research Working Paper, No.18/2014. VENKATARAMANAN, Sharadha (2014). Impact of Quantitative Easing on Emerging Markets: A Study on Indian Markets. Yayımlanmamış Yüksek Lisans Tezi, Liverpool John Moores University.
  • İnternet Kaynakları FED. (2016). 2 Şubat 2016’da https://www.stlouisfed.org/’dan ulaşıldı. BORSA İSTANBUL. (2016). 2 Şubat 2016’da https://www.borsaistanbul.com/’dan ulaşıldı. TCMB. (2016). 2 Şubat 2016’da https://www.tcmb.gov.tr/’dan ulaşıldı. INVESTING. (2016). 2 Şubat 2016’da https://tr.investing.com/’dan ulaşıldı.
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Details

Primary Language Turkish
Journal Section Makaleler
Authors

Alpaslan Serel 0000-0002-8612-931X

Musa Bayır This is me 0000-0002-6877-4032

Publication Date January 1, 2020
Submission Date October 11, 2019
Published in Issue Year 2020 Volume: 12 Issue: 22

Cite

APA Serel, A., & Bayır, M. (2020). FED’İN UYGULADIĞI GELENEKSEL OLMAYAN PARA POLİTİKASI UYGULAMALARININ TÜRKİYE EKONOMİSİNDE VARLIK PİYASALARINA ETKİSİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 12(22), 228-248. https://doi.org/10.14784/marufacd.688417