The Impact of US Federal Reserve Quantitative Easing on Stock Markets: The Comparison between Developed and Emerging Countries

• Main Authors: Angie AngganaTanaja, 陳祈天
• Other Authors: Hui-Ching Sana Hsieh
• Format: Others
• Language: en_US
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/31842779415092014956

碩士 === 國立成功大學 === 國際經營管理研究所 === 103 === This research examined the impact of US Federal Reserve QE monetary policy on stock markets in several countries outside the US. There are seven countries classified as developed countries (Germany, Japan, UK), competing countries (China, Russia), and emerging countries (Indonesia, South Africa). Different economic conditions questioned the presence of different impact on stock markets during US QE monetary policy. Vector Error Correction Model (VECM) time series regression is utilized in order to capture long-term relationship and short-term relationship of macroeconomic variables towards stock prices. It is found that impact of US QE monetary policy in developed countries is negligible, except for Germany. Moreover, the impact of US QE in China and Russia are also not significant. While, the emerging countries which performing higher economic growth than developed countries are significantly affected by US QE monetary policy. In addition, by adding the dummy variable TQE, the impact of US tapering QE in seven countries studied is heading to inconclusive result. The commitment of the Fed to maintain the Fed funds rate low at the range of 0 – 0.25% post-QE be the potential reason for this finding.