Analysis of the Effects of FED’s Monetary Policies on Inflation in the USA After the 2008 Global Crisis Through Co-integration and Causality Tests

Öz

In recent years, high inflation has emerged as a common fundamental problem for many countries. Studies investigating the causes of inflation have increased due to the high inflation observed worldwide following the 2008 Global Financial Crisis and the COVID-19 pandemic. Parallel to this, there has been a growing interest in research examining the effects of monetary policies on inflation. This study analyzes the short- and long-term impacts of the Federal Reserve’s (FED) monetary policies on inflation in the United States through co-integration and causality tests. In particular, asset purchases and sales initiated after the 2008 Global Financial Crisis, as interest rate changes failed to produce the desired effects, have provided opportunities to better analyse the impacts of monetary policies. In this research, the period from January 2008 to August 2024, including the COVID-19 era, was examined to determine whether changes in the FED’s balance sheet, the industrial production index, the unemployment rate, and inflation were statistically significant. In this research, based on the results of cointegration, FMOLS, DOLS analysis, and causality tests, increases in the balance sheet were found to have a statistically significant impact on inflation in both the short and long term. Additionally, causality tests revealed that changes in the FED’s balance sheet are a Granger cause of inflation. In the long term, inflation, changes in the balance sheet size, and the industrial production index were identified as causes of changes in unemployment. This finding highlights the importance of central bank balance sheet sizes and the monetary policies influencing these sizes. JEL Classification : E58 , E52 , C32

Anahtar Kelimeler

• FED
• Monetary Policies
• Inflation
• Unemployment Industrial Production Index
• Cointegration
• FMOLS and DOLS Analysis
• Causality Tests

2008 Küresel Kriz Sonrası FED’in Para Politikalarının ABD’deki Enflasyon Üzerine Etkilerinin Eşbütünleşme ve Nedensellik Testleri ile Analizi

Öz

Son yıllarda yüksek enflasyon ülkelerin ortak temel problemi olarak dikkat çekmektedir. Enflasyonu etkileyen nedenleri araştıran çalışmalar, 2008 Küresel Kriz ve Covid-19 salgını sonrası dünya genelinde görülen yüksek enflasyon yüzünden giderek artmaktadır. Bununla paralel olarak para politikalarının enflasyon üzerindeki etkilerini inceleyen çalışmalar giderek artmakta ve ilgi görmektedir. Bu çalışmada FED’in para politikalarının ABD’deki enflasyon üzerine kısa ve uzun dönemli etkileri eşbütünleşme ve nedensellik testleriyle incelenmiştir. Özellikle 2008 küresel kriz sonrası faiz değişimlerinin istenen etkiyi yapmaması sonucu yapılan varlık alımı ve geri alımları, para politikalarının etkilerinin rahatlıkla incelenmesine olanak sunmaktadır. Bu çalışmada Covid-19 dönemini de içeren Ocak 2008- Ağustos 2024 aralığında ABD’de FED’in bilançosundaki değişimin, sanayi endeksindeki değişim, işsizlik oranındaki değişimin ve enflasyon üzerinde etkilerinin istatistiksel olarak anlamlı olup olmadığı incelenmiştir. Bu çalışmada eşbütünleşme, FMOLS, DOLS analizi ve nedensellik testleri sonuçlarına göre, kısa ve uzun dönemde bilançodaki artışların enflasyona neden olması istatistiksel olarak anlamlı bulunmuştur. Bunun yanında FED’in bilançosundaki değişimlerin, enflasyonun Granger nedeni olduğu nedensellik testlerinde tespit edilmiştir. Uzun dönemde enflasyon, bilanço büyüklüğü ve sanayi üretim endeksindeki değişimin işsizlikteki değişimlerin nedeni olarak tespit edilmesi, merkez bankası bilanço büyüklüklerin ve bu büyüklüğe etki eden para politikalarının önemini göstermektedir. JEL Classification : E58 , E52 , C32

Anahtar Kelimeler

• FED
• Para Politikaları
• Enflasyon
• İşsizlik Sanayi Üretim Endeksi
• Eşbütünleşme
• FMOLS ve DOLS Analizi Nedensellik Testleri

Kaynakça

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