FED’İN PARA POLİTİKALARININ KIRILGAN BEŞLİ ÜLKELERİ ÜZERİNDE YAYILMA ETKİLERİ: PANEL VAR YAKLAŞIMI İLE MODELLEME

Abstract

After he 2008 Global Crisis, the FED implemented unconventional monetary policies along with conventional monetary policies. FED policies are generally thought to have spillover effects on emerging market economies. This article compare effects of FED monetary policies between January 2008 – December 2019 on fragile five countries’(Brazil, India, Indonesia, South Africa and Turkey) two-year bond yields stock prices and exchange rates with panel VAR model. The monetary policies implemented by the FED between 2008-2019 have been analyzed in three sub-periods as the 2008-2012 QE (Quantitative Easing) period, the 2013-2015 Tapering period (reduction of bond purchases) and the 2016-2019 normalization period. It has been revealed that the non-traditional monetary policies implemented by the FED between 2008-2019 are more effective than traditional policies. This difference was even greater between 2008-2012. It has been observed that unconventional monetary policies initially led to a depreciation and then an increase in the exchange rates of fragile five countries. It has been observed that conventional and unconventional monetary policies in 2008-2012 period have a much more impact on the stock market index, exchange rates and bond interests than the other two periods. Tapering announcements between 2013-2015 caused the effect of monetary policies to diminish and to change direction, although the expansion of FED balance sheet continued. In the normalization period it was observed that the interest rate hike and the tightening of the FED balance sheet did not have as strong effects as in the QE period.