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The spillover effects of quantitative easing on major emerging economies: the case of South Africa
Kaulinge, Ndilimeke Nelao Mbabyona
In this study, I analyse the potential spillover effects of large-scale asset purchases (LSAP) or quantitative easing (QE) implemented by the US Federal Reserve Bank (US Fed) and European Central Bank (ECB) on the South African economy. To start, I survey the literature and summarize the general themes that arise. The two main themes that I focused on for my research were that QE depreciated global currency rates and raised sovereign bond rates and that strong country fundamentals mitigated against the spillover effects of QE. I highlight the importance of macroeconomic and financial variables in determining the effects of QE, therefore the chosen model incorporates interest rates, credit default swap spreads, debt to GDP ratio, GDP growth, inflation, market capitalization to GDP and credit ratings. I quantify the effects of QE on South African long-term government bond yields and foreign exchange rates using a vector autoregressive (VAR) model, while making use of monthly data from March 2009 to December 2021. I measure the shock of QE using impulse response functions with a 24-month horizon. I found that QE implemented by the US Fed and the ECB significantly affected long-term government bond yields and foreign exchange rates in South Africa, and that they responded more to US QE than to ECB QE. While acknowledging that the model does not account for certain structural and socio-economic issues prevalent in South Africa today, I recommend that policymakers take steps toward developing domestic policies and institutions, maintaining a robust current account balance, reducing energy shortages, and maintaining political stability.
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Monetary policy and income Inequality– evidence from Slovakia
Henein, Joseph
The effect of monetary policy conduct on income and wealth inequality has been widely researched and spiked renewed interest after the introduction of unconventional monetary policy tools. The effect of monetary policy on asset prices channel has been identified as the key determinant of widening the wealth and income distribution In this research, I test the hypothesis if there is an effect of the large-scale asset purchase program by the European Central Bank had any effect on the income inequality in the euro-zone and with focus on the results for Slovakia. The scope of this research is the period from 2014 to 2018, focusing on the income inequality effect for the top 1% of earners, the top 10% of earners, the and bottom 50% of earners. And the effect on the Gini coefficient is tested as well for the effect on the overall income distribution. Through panel data analysis, the study found no material effect of the large-scale asset purchase program on income inequality. The coefficient of the estimation using several estimation procedures was not found statistically significant.
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Vplyv nekonvenčnej menovej politiky na devízové kurzy
Gáťová, Jana
Gáťová, J. The impact of unconventional monetary policy on exchange rate. Diplo-ma thesis. Brno: Mendel University, 2023 The diploma thesis deals with the impact of unconventional monetary policy on the exchange rate. The literary review deals with the instruments of unconven-tional monetary policy and their specific use by the central banks ECB and FED. The aim of the thesis was to identify the impact of unconventional monetary poli-cy, primarily quantitative easing, on the USD/EUR exchange rate. In the empirical part of the diploma thesis, an analysis was carried out that examined this relation-ship using graphs and a VAR model, from which Granger causality and Impulse-response analysis were subsequently derived. Based on the analysis, the relation-ship between the quantitative easing of the central banks of the ECB, the FED and the movement of the USD/EUR exchange rate was proven.
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Komparace využívání nástrojů Evropské centrální banky během ekonomických krizí
Harviščák, Erik
The diploma thesis compares the use of monetary policy tools by the European Central Bank during economic crises. Specifically, it compares the response to the economic crisis caused by the 2008 financial market crash and the economic crisis associated with the outbreak of the coronavirus pandemic in 2020. Since the establishment of the European Central Bank in 1998, these are the two most significant shocks in terms of economic development. The thesis analyzes the development of monetary policy tools used during the crisis based on available literature. Based on these tools, indicators for eurozone countries that reflect the use of monetary policy tools are analyzed and compared. These indicators include key interest rates, interbank interest rates, and interest rates for households and businesses, as well as an indicator of active loans in the eurozone and quantitative easing. Along with these indicators, macroeconomic indicators are analyzed in the thesis, including the development of the price level and prices on stock markets. Above all, indicators of interest rates and quantitative easing confirm the different response of the European Central Bank to the compared crises. During the first crisis, the focus was mainly on increasing interest rates, due the increasing price level. In contrast, during the pandemic, record-high funds were provided through quantitative easing programs to stimulate economic growth.
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Důsledky kvantitativního uvolňování v Evropě a USA
Kocveldová, Gabriela
This thesis investigates consequences of quantitative easing in Euro area and in the USA, especially for the fixed-income market. Empirical part of the thesis is split into the analysis of individual phases of quantitative easing in the USA and into the evaluation of consequences on chosen macroeconomic indicators. Same procedure is applied for the Euro area.
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Kvantitativní uvolňování a riziko růstu inflace v USA
Jarošová, Marie
The thesis is focused on quantitative easing, which used the U.S. central bank for the third time in a few years, to deepen the expansionary monetary policy. There is examining the relationship between quantitative easing and inflation, as the sharp rise in inflation is considered a major risk associated with quantitative release an. Relationship between quantitative easing and inflation is observed by means of simple regress analysis (using the OLS) and the moving correlation (rolling correlation) between each wheel QE with regard to the development of mortgage, financial and debt crisis.
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Assessment of the Efficiency of QE in Selected Countries - A TVP-VAR Approach
Bandžak, Denis ; Hlaváček, Michal (advisor) ; Horváth, Roman (referee)
This thesis applies time-varying parameter vector autoregression (TVP-VAR) model with stochastic volatility to assess the effectiveness of quantitative easing in time for the Bank of Japan, the European Central Bank, the Bank of England and the Federal Reserve System between the global financial crisis and COVID-19 pandemic. We find pronounced and statistically significant response of GDP and level of implied stock market volatility to a QE shock whereas the response of CPI is feeble and statistically insignificant. We argue that this does not necessarily imply that there is no effect of QE on CPI but rather that our model was not able to detect it. We believe that this may be due to inflation expectations channel which our model did not account for. This can be reassessed with a TVP-FAVAR model which is more suitable for such an analysis as it can encompass a larger set of variables. Moreover, apart from the US, we report increasing effectiveness of QE in time. This is opposed by the researchers who believe that QE has rather decreasing effectiveness in time because it is more efficient during economic distress and then its efficiency tends to decrease during normal times. We explain this deviation by citing other unconventional monetary tools such as credit easing, forward guidance or negative...
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Kvantitatívne uvoľňovánie v Japonsku a jeho dopad na HDP
Balážová, Jana
During the period known as Two Lost Decades Japan suffered by weak economic growth, deflation and negative output gap. By the end of 2012, Shinzo Abe was elected as prime minister of Japan and his plan so called Abenomics included extensive quantitative easing by Bank of Japan, fiscal consolidation and structural reforms. Quantitative easing included a significant increase of monetary base and its goal was to achieve the 2% inflation target. It should have encouraged the private consumption and closed the output gap. The aim of this paper is analysis of macroeconomic indicators related to quantitative easing and finding whether inflation and real GDP have increased and the output gap has been closed or not.
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Účinnost kvantitativního uvolňování v eurozoně
Škrášek, Filip
The thesis examines an impact of quantitative easing in Euro area. European central bank conducted unconventional monetary policy in reaction to global financial crisis’ aftermath. Quantitative easing, arguably the most controversial measure, is aimed to provide commercial banks with excessive liquidity and subsequently persuade an increase in provided loans and thus stimulate GDP. The thesis links to previous literature on quantitative easing effect with up-to-date dataset and examines the impact of quantitative easing through bank lending channel. The thesis identifies and describes heterogeneity of quantitative easing’s effect among Euro area countries.
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