FED Para Politikalarının Finansal Piyasalara ve Emtia Fiyatlarına Etkileri: Gelişmiş ve Gelişmekte Olan Ülkeler İçin Yapısal Kırılmalı Bir Ekonometrik Analiz

Yıl 2021, Sayı: 64, 233 - 255, 29.12.2021

Hatıra Sadeghzadeh Emsen

https://doi.org/10.26650/JECS2021-918658

Öz

Bu çalışmada FED’in faiz ve QE politikalarının hisse senedi borsaları ve döviz kurları ve emtia fiyatlarına etkileri 17 ülkenin 2003:01-2021:01 dönemi verileri kullanılarak yapısal kırılmalı zaman serisi analizi yöntemleriyle incelenmiştir. Dünya ekonomisinin 1/4ünü oluşturan ve parası da önemli gücü sembolize eden ABD’deki genişlemelerin dışarıdaki yansımaları seçili ülkeler özelinde, özellikle 2008 finans ve 2020 Covid’e bağlı parasal genişleme etkileri incelemeye değerdir. ABD FED faiz oranındaki artışların bütün ülkelerin hisse senedi borsalarını kısa dönemde pozitif etkilediği belirlenmiştir. FED faizlerinin döviz kurlarını uzun dönemde G. Kore’de, kısa dönemde Kanada, Brezilya, Rusya, Hindistan, G. Afrika, Meksika, G. Kore ve Endonezya’da negatif, İngiltere ve Japonya’da pozitif etkilediği görülmüştür. FED’in miktarsal genişleme politikaları uygulamasının kısa dönemde Kanada ve İtalya borsalarını, uzun dönemde ise ABD, Kanada, İngiltere, Almanya, Hindistan, Çin, G. Afrika, Meksika, G. Kore, Endonezya, Malezya ve Türkiye’deki hisse senedi borsalarını pozitif yönde etkilediği tespit edilmiştir. Bu sonuçlara dayanarak; FED’in uyguladığı QE politikaları ile piyasada oluşan likiditenin özellikle gelişmekte olan ülke borsalarına gittiği ifade edilebilir. FED’in uyguladığı QE politikalarının döviz kurları üzerindeki etkisinin genel olarak pozitif olduğu, kısa dönemli etkilerin daha büyük olduğu belirlenmiştir. Kısaca FED’in para politikalarının finansal piyasalar üzerinde genel olarak uzun dönemli bir etkisinin olmadığı, var olan etkinin gelişmekte olan ülkelerde yoğunlaştığı, gelişmiş ülkelerdeki etkilerinin ise farklılıklar gösterdiği belirtilmelidir.

Anahtar Kelimeler

FED politikaları, borsa, döviz kuru, emtia fiyatları, yapısal kırılmalı analiz

Destekleyen Kurum

-

Proje Numarası

-

Teşekkür

-

Effects of US Federal Reserve Monetary Policies on Financial Markets and Commodity Prices: An Econometric Analysis with a Structural Break for Developed and Developing Countries

Öz

In this study, the effects of the US Federal Reserve’s (Fed) interest and quantitative easing (QE) policies on stock markets, exchange rates, and commodity prices were examined applying structural break time series analysis methods using the data of 17 countries for the January 2003–January 2021 period. The external reflections of monetary expansion in the USA, which constitutes approximately 25% of the world economy, and whose money also symbolizes an important power, is worth examining as related to the 2008 subprime financial crisis and the 2020 Covid-19 pandemic, particularly in selected countries. It was determined that Fed increases in interest rate positively affect all countries’ stock markets in the short run. Fed interest rates were observed to negatively affect the exchange rates in South Korea in the long run and in Canada, Brazil, Russia, India, South Africa, Mexico, South Korea, and Indonesia in the short run; they positively affect the UK and Japan in the short run. The Fed’s implementation of QE policy was found to positively affect stock markets in Canada and Italy in the short run and in the USA, Canada, the UK, Germany, India, China, South Africa, Mexico, South Korea, Indonesia, Malaysia, and Turkey in the long run. These results suggest that the liquidity in the market generated by Fed QE policies particularly affects the stock markets of developing countries. The effect of Fed QE policies on exchange rates was determined to be generally positive, with short run effects that are higher than the long run. In sum, Fed monetary policies generally exert extremely weak long-term effects on financial markets, the existing effects are concentrated in developing countries, and such effects differ in developed countries. From the policy perspectives, the policymakers of other countries should consider the monetary policies of the USA, which affect other countries to a great extent, and set their monetary policies to be compatible with ones of the USA. In addition, the results of this study are expected to serve as a basis for future research to determine the degrees of sensitivity to the monetary policies of the USA by grouping the developing countries according to their homogeneity in terms of fragility.

Anahtar Kelimeler

US Federal reserve policies, stock market, exchange rate, commodity prices, structural break analysis

Proje Numarası

-

Kaynakça

• Anaya, P., Hachula, M., & Offermanns, C. (2017). “Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows”, Journal of International Money and Finance, No. 73: 275–295. google scholar
• Bai, J., & Perron, P. (1998). “Estimating and testing linear models with multiple structural changes”, Econometrica, No. 66: 47–78. google scholar
• Bai, J., & Perron, P. (2003). “Computation and analysis of multiple structural change models”, Journal of Applied Econometrics, No. 6: 72–78. google scholar
• Bhattarai, S., Chatterjee, A., & Park, W.Y. (2021). “Effects of US quantitative easing on emerging market economies”, Journal of Economic Dynamics and Control, No. 122: 1–37. google scholar
• Brauning, F., & Ivashina, V. (2020). “U.S. monetary policy and emerging market credit cycles”, Journal of Monetary Economics, No. 112: 57–76. google scholar
• Brave, S. A., & Genay, H. (2011). “Federal reserve policies and financial market conditions during the crisis”, Federal Reserve Bank of Chicago, Working Paper Series, No. 2011–04. google scholar
• Chen, Q., Filardo, A., He, D., & Zhu, F. (2012). “International spillovers of central bank balance sheet policies”, BIS Working Paper Series, No. 66. google scholar
• Chen, J., Mancini-Griffoli, T., & Sahay, R. (2014). “Spillovers from United States Monetary Policy on emerging markets: Different this time?” IMF Working Paper, No. 240. google scholar
• Chen, Q., Filardo, A., He, D., & Zhu, F. (2016). “Financial crisis, US unconventional monetary policy and international spillovers”, Journal of International Money and Finance, No. 67: 62–81. google scholar
• ECB (2010). “The ECB’s response to the financial crisis”, European Central Bank Monthly Bulletin, October, p. 59–74. google scholar
• Engle, R. F., & Granger, C.W.J. (1987). “Co-integration and error correction: representation, estimation, and testing”, Econometrica, 55 (2): 251–276. google scholar
• FED (2021). “Credit and liquidity programs and the balance sheet. recent balance sheet trends”, Retrieved from https://www.federalreserve.gov/monetarypolicy/bst_recenttrends.htm. google scholar
• Forbes (2015). “Quantitative easing in focus: The U.S. experience”, Retrieved from https://www.forbes.com/sites/greatspeculations/2015/11/16/quantitative-easing-in-focus-the-u-s-experience/?sh=b 871df528d53. google scholar
• Fratzscher, M., Lo Duca, M., & Straub, R. (2016). “On the international spillovers of US quantitative easing”, The Economic Journal, 128 (608): 330–377. google scholar
• FRED (2021), “Federal Reserve Economic Data”, 2020. Retrieved from https://fred.stlouisfed.org /series/BOGMBASE. google scholar
• Huang, R. (2008). “The effect of monetary tightening on local banks, Federal Reserve Bank of Philadelphia”, Working Paper Series, No. 08–20. google scholar
• Investing (2021). Indices, Retrieved from https://www.investing.com/indices/us-spx-500. google scholar
• Lee, T., Li, Z., & Pei, Z. (2015). “Quantitative easing and its global impacts”, Open Journal of Social Sciences, No. 3: 18–21. google scholar
• Mishkin, F. S. (2003). The economics of money, banking, and financial markets. (Sixth Edition), Pearson, New York: U.S. google scholar
• Morgan S. (2013). “Currencies, FX pulse, preparing for volatility”, Retrieved from https://web.archive.org/web/20130824123019/http://www.morganstanley.com/institution al/research/pdf/FXPulse_20130801.pdf. google scholar
• Obstfeld, M. (2020). “Global dimensions of U.S. monetary policy”, International Journal of Central Banking, Special Issue: Federal Reserve System Conference on Monetary Policy - Strategy, Tools, and Communication Practices, 73–132 google scholar
• Özatay, F. (2009). Finansal krizler ve Türkiye. (1. Baskı). Doğan Kitap, İstanbul: Türkiye. google scholar
• Pesaran, H. M., & Shin, R.Y. (1998). “An autoregressive distributed lag modelling approach to cointegration analysis”, Econometrics and Economic Theory in the 20st Century: The Ragnar Frisch Centennial Symposium. google scholar
• Pesaran, H. M., Shin, R.Y., & Smith, R.J. (2001). “Bounds testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16 (3): 289–326. google scholar
• Powell, J. H. (2015). “Financial institutions, financial markets, and financial stability”, Speech by Mr Jerome H Powell, Member of the Board of Governors of the Federal Reserve System, at the Stern School of Business, New York University, New York City, 18 February. google scholar
• Smaghi, L. B. (2009). “Conventional and unconventional monetary policy”, Keynote Lecture, International Center for Monetary and Banking Studies, Geneva, 28 April 2009. google scholar
• Şeker, H. ve Demirel, B. (2019). “2008 Finansal krizi sonrasi para politikasi üzerine teorik bir inceleme”, Politik Ekonomik Kuram, 3 (1): 1–18. google scholar
• Trading Economics (2021). “Euro Area interest rate”, Retrieved from https://tradingeconomics.com/euro-area/interest-rate. google scholar
• UNCTAD (2014). World economic situation prospects 2014. New York: United Nations. google scholar
• Woodford, M. (2005). “Central bank communication and policy effectiveness”, NBER Working Paper Series, No. 11898. google scholar