Analyzing The Effect of Monetary Policies and Financial Stability Measures Across Global Markets amid Covid-19 Pandemics

Yıl 2024, Cilt: 7 Sayı: 2, 111 - 141, 20.12.2024

Rabia Özkaya

https://doi.org/10.56206/husbd.1525892

Öz

This study investigates causal relationships among financial stability measures and monetary policies implemented in US, EU and Turkey. Selected variables from stock markets, money markets, and bond markets are tested. The set of macrofinancial process covers S&P500 stock market, BIST-100 stock market; Volatility index; German, US and Turkey 10-year treasury bond interest data, European Union 27 average CPI, US CPI, Turkey CPI, ECB policy rate, FED policy rate, CBRT policy rate data. The Granger causality analysis is applied for first; each dataset of US, EU and the Turkish economy, separately. Second, mutual impact of stock markets, money markets and bond markets are examined. Finally CBOE Volatility index (VIX) is taken into account. It is aimed to observe spillover effects from developed economies to emerging markets amid pandemics. The dataset covers the monthly period of 2019M1 to 2023M6.

Anahtar Kelimeler

Granger Causality, Monetary Policy, Financial Stability, Volatility Index, Stock Market, European Central Bank

Covid-19 Pandemisi Sırasında Küresel Piyasalarda Para Politikalarının ve Finansal İstikrar Tedbirlerinin Etkisinin Analizi

Öz

Bu çalışma, ABD, AB ve Türkiye'de uygulanan para politikaları ile finansal istikrar tedbirleri arasındaki nedensel ilişkileri araştırmaktadır. Hisse senedi piyasaları, para piyasaları ve tahvil piyasalarından seçilen değişkenler test edilmiştir. Makrofinansal süreç seti S&P500 hisse senedi piyasası, BIST-100 hisse senedi piyasası; Volatilite endeksi; Almanya, ABD ve Türkiye 10 yıllık hazine bonosu faiz verileri, Avrupa Birliği 27 ortalama TÜFE, ABD TÜFE, Türkiye TÜFE, ECB politika faizi, FED politika faizi, TCMB politika faizi verilerini kapsamaktadır. Granger nedensellik analizi ilk olarak; ABD, AB ve Türkiye ekonomisine ait her bir veri seti için ayrı ayrı uygulanmıştır. İkinci olarak, hisse senedi piyasaları, para piyasaları ve tahvil piyasalarının karşılıklı etkisi incelenmiştir. Son olarak CBOE Volatilite endeksi (VIX) dikkate alınmıştır. Salgınlar sırasında gelişmiş ekonomilerden gelişmekte olan piyasalara yayılma etkilerinin gözlemlenmesi amaçlanmaktadır. Veri seti 2019M1 ile 2023M6 arasındaki aylık dönemi kapsamaktadır.

Anahtar Kelimeler

Granger Nedensellik, Para Politikası, Finansal İstikrar, Volatilite Endeksi, Borsa, Avrupa Merkez Bankası

Kaynakça

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