[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/gam/jjrfmx/v12y2019i2p57-d220488.html
   My bibliography  Save this article

Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices

Author

Listed:
  • Stephanos Papadamou

    (Department of Economics, University of Thessaly, Volos P.C. 38333, Greece)

  • Nikolaos A. Kyriazis

    (Department of Economics, University of Thessaly, Volos P.C. 38333, Greece)

  • Panayiotis G. Tzeremes

    (Department of Economics, University of Thessaly, Volos P.C. 38333, Greece)

Abstract
In this paper, we study spillover effects on the stock markets of six African and nine Middle Eastern emerging economies before, during, and after the implementation of unconventional monetary policies by the United States Federal Reserve (US Fed). Weekly data covering the pre-quantitative easing (pre-QE) period, the three phases of QE, and the QE-tapering period were adopted. The methodologies employed here for detecting dual causality were as follows: classical, dynamic, and time-varying Granger causality tests. The results indicate that the Fed’s non-conventional actions weakened the Fed’s monetary policies’ impact on the stock indices of these emerging countries. Interestingly, there is evidence that two African and three Middle Eastern countries—all different according to each of the specifications used in the methodology—were affected by the tapering of unconventional US monetary practices.

Suggested Citation

  • Stephanos Papadamou & Nikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2019. "Spillover Effects of US QE and QE Tapering on African and Middle Eastern Stock Indices," JRFM, MDPI, vol. 12(2), pages 1-20, April.
    • Handle: RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:57-:d:220488
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/1911-8074/12/2/57/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/1911-8074/12/2/57/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Glick, Reuven & Leduc, Sylvain, 2012. "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Journal of International Money and Finance, Elsevier, vol. 31(8), pages 2078-2101.
    2. Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2015. "U.S. unconventional monetary policy and transmission to emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 27-59.
    3. Alessio Ciarlone & Andrea Colabella, 2016. "Spillovers of the ECB's non-standard monetary policy into CESEE economies," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 34(81), pages 175-190, November.
    4. Joseph E. Gagnon & Tamim Bayoumi & Juan M. Londono & Christian Saborowski & Horacio Sapriza, 2017. "Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies," Open Economies Review, Springer, vol. 28(2), pages 191-232, April.
    5. Tillmann, Peter, 2016. "Unconventional monetary policy and the spillovers to emerging markets," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 136-156.
    6. Martin Feldkircher & Florian Huber, 2018. "Unconventional U.S. Monetary Policy: New Tools, Same Channels?," JRFM, MDPI, vol. 11(4), pages 1-31, October.
    7. Robert Lavigne & Subrata Sarker & Garima Vasishtha, 2014. "Spillover Effects of Quantitative Easing on Emerging-Market Economies," Bank of Canada Review, Bank of Canada, vol. 2014(Autumn), pages 23-33.
    8. Shahbaz, Muhammad & Mahalik, Mantu Kumar & Shah, Syed Hasanat & Sato, João Ricardo, 2016. "Time-varying analysis of CO2 emissions, energy consumption, and economic growth nexus: Statistical experience in next 11 countries," Energy Policy, Elsevier, vol. 98(C), pages 33-48.
    9. Miyakoshi, Tatsuyoshi & Shimada, Junji & Li, Kui-Wai, 2017. "The dynamic effects of quantitative easing on stock price: Evidence from Asian emerging markets, 2001–2016," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 548-567.
    10. Chen, Qianying & Filardo, Andrew & He, Dong & Zhu, Feng, 2016. "Financial crisis, US unconventional monetary policy and international spillovers," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 62-81.
    11. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, vol. 108(2), pages 425-448.
    12. MacDonald, Margaux, 2017. "International capital market frictions and spillovers from quantitative easing," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 135-156.
    13. Kiendrebeogo, Youssouf, 2016. "Unconventional monetary policy and capital flows," Economic Modelling, Elsevier, vol. 54(C), pages 412-424.
    14. Bauer, Michael D. & Neely, Christopher J., 2014. "International channels of the Fed's unconventional monetary policy," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 24-46.
    15. Travis J. Berge & Guangye Cao, 2014. "Global effects of U.S. monetary policy: is unconventional policy different?," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-31.
    16. Menzie D Chinn, 2013. "Global spillovers and domestic monetary policy," BIS Working Papers 436, Bank for International Settlements.
    17. Kolasa, Marcin & Wesołowski, Grzegorz, 2020. "International spillovers of quantitative easing," Journal of International Economics, Elsevier, vol. 126(C).
    18. Sato, Joao R. & Morettin, Pedro A. & Arantes, Paula R. & Amaro Jr., Edson, 2007. "Wavelet based time-varying vector autoregressive modelling," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5847-5866, August.
    19. Kenourgios, Dimitris & Papadamou, Stephanos & Dimitriou, Dimitrios, 2015. "Intraday exchange rate volatility transmissions across QE announcements," Finance Research Letters, Elsevier, vol. 14(C), pages 128-134.
    20. Dahlhaus, R. & Neumann, M. & Von Sachs, R., 1997. "Nonlinear Wavelet Estimation of Time-Varying Autoregressive Processes," SFB 373 Discussion Papers 1997,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    21. Kenourgios, Dimitris & Papadamou, Stephanos & Dimitriou, Dimitrios, 2015. "On quantitative easing and high frequency exchange rate dynamics," Research in International Business and Finance, Elsevier, vol. 34(C), pages 110-125.
    22. Mr. Jiaqian Chen & Mr. Tommaso Mancini-Griffoli & Ms. Ratna Sahay, 2014. "Spillovers from United States Monetary Policy on Emerging Markets: Different This Time?," IMF Working Papers 2014/240, International Monetary Fund.
    23. Stephanos Papadamou & Eleftherios Spyromitros & Nikolaos A. Kyriazis, 2018. "Quantitative easing effects on commercial bank liability and government yields in UK: A threshold cointegration approach," International Economics and Economic Policy, Springer, vol. 15(2), pages 353-371, April.
    24. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
    25. Stephanos Papadamou & Vasilios Sogiakas, 2018. "The informational content of unconventional monetary policy on precious metal markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 16-36, January.
    26. David Andolfatto & Li Li, 2014. "Quantitative easing in Japan: past and present," Economic Synopses, Federal Reserve Bank of St. Louis, issue 1.
    27. Papadamou, Stephanos & Kyriazis, Νikolaos A. & Tzeremes, Panayiotis G., 2019. "Unconventional monetary policy effects on output and inflation: A meta-analysis," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 295-305.
    28. Gang Wang, 2019. "The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach," IJFS, MDPI, vol. 7(1), pages 1-30, February.
    29. Anita Angelovska–Bezhoska & Ana Mitreska & Sultanija Bojcheva-Terzijan, 2018. "The Impact of the ECB’s Quantitative Easing Policy on Capital Flows in the CESEE Region," Working Papers 2018-04, National Bank of the Republic of North Macedonia.
    30. Ajmi, Ahdi Noomen & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Sato, João Ricardo, 2015. "On the relationships between CO2 emissions, energy consumption and income: The importance of time variation," Energy Economics, Elsevier, vol. 49(C), pages 629-638.
    31. Park, Donghyun & Ramayandi, Arief & Shin, Kwanho, 2014. "Capital Flows During Quantitative Easing and Aftermath: Experiences of Asian Countries," ADB Economics Working Paper Series 409, Asian Development Bank.
    32. Georgiadis, Georgios & Gräb, Johannes, 2016. "Global financial market impact of the announcement of the ECB's asset purchase programme," Journal of Financial Stability, Elsevier, vol. 26(C), pages 257-265.
    33. Anita Angelovska – Bezhoska & Ana Mitreska & Sultanija Bojcheva – Terzijan, 2018. "The Impact of the ECB’s Quantitative Easing Policy on Capital Flows in the Cesee Region," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(2), pages 25-48.
    34. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.
    35. Potjagailo, Galina, 2017. "Spillover effects from Euro area monetary policy across Europe: A factor-augmented VAR approach," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 127-147.
    36. Athanasios P. Fassas & Stephanos Papadamou, 2018. "Unconventional monetary policy announcements and risk aversion: evidence from the U.S. and European equity markets," The European Journal of Finance, Taylor & Francis Journals, vol. 24(18), pages 1885-1901, December.
    37. McQuade, Peter & Falagiarda, Matteo & Tirpák, Marcel, 2015. "Spillovers from the ECB's non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis," Working Paper Series 1869, European Central Bank.
    38. Bergant, Katharina & Fidora, Michael & Schmitz, Martin, 2018. "International capital flows at the security level – evidence from the ECB’s asset purchase programme," ECMI Papers 13926, Centre for European Policy Studies.
    39. Taoufik Bouraoui, 2015. "The effect of reducing quantitative easing on emerging markets," Applied Economics, Taylor & Francis Journals, vol. 47(15), pages 1562-1573, March.
    40. Ad Van Riet, 2017. "The ECB’s Fight against Low Inflation: On the Effects of Ultra-Low Interest Rates," IJFS, MDPI, vol. 5(2), pages 1-27, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Krittika Banerjee & Ashima Goyal, 2020. "Monetary spillovers and real exchange rate misalignments in emerging markets," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 17(2), pages 452-484, October.
    2. Demetrio Lacava & Luca Scaffidi Domianello, 2021. "The Incidence of Spillover Effects during the Unconventional Monetary Policies Era," JRFM, MDPI, vol. 14(6), pages 1-18, May.
    3. Assoumou-Ella, Giscard & Bastidon, Cécile & Bonijoly, Bastien, 2022. "Fed tapering announcements: Impact on Middle Eastern and African financial markets," Research in International Business and Finance, Elsevier, vol. 59(C).
    4. Choi, Sun-Yong & Phiri, Andrew & Teplova, Tamara & Umar, Zaghum, 2024. "Connectedness between (un)conventional monetary policy and islamic and advanced equity markets: A returns and volatility spillover analysis," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 348-363.
    5. George N. Apostolakis & Nikolaos Giannellis & Athanasios P. Papadopoulos, 2023. "Macro‐financial effects of monetary policy easing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 715-738, April.
    6. PENDARAKI Konstantina & CHARDA Magdalini, 2023. "Investigating Causal Spillovers among International Stock Markets," European Journal of Interdisciplinary Studies, Bucharest Economic Academy, issue 01, March.
    7. Li Liu & Yumin Liu & Jong-Min Kim, 2019. "Sustainable Visual Analysis for Bank Non-Performing Loans and Government Debt Distress," Sustainability, MDPI, vol. 12(1), pages 1-21, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stephanos Papadamou & Νikolaos A. Kyriazis & Panayiotis G. Tzeremes, 2020. "US non-linear causal effects on global equity indices in Normal times versus unconventional eras," International Economics and Economic Policy, Springer, vol. 17(2), pages 381-407, May.
    2. Bernhard, Severin & Ebner, Till, 2017. "Cross-border spillover effects of unconventional monetary policies on Swiss asset prices," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 109-127.
    3. Margaux MacDonald & Michał Ksawery Popiel, 2020. "Unconventional Monetary Policy in a Small Open Economy," Open Economies Review, Springer, vol. 31(5), pages 1061-1115, November.
    4. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Fed’s unconventional monetary policy and risk spillover in the US financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 42-52.
    5. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
    6. Cezar, Rafael & Silvestrini, Maéva, 2021. "Impact of the ECB Quantitative Easing on the International Investment Position," International Economics, Elsevier, vol. 165(C), pages 241-263.
    7. ter Ellen, Saskia & Jansen, Edvard & Midthjell, Nina Larsson, 2020. "ECB Spillovers and domestic monetary policy effectiveness in small open economies," European Economic Review, Elsevier, vol. 121(C).
    8. Ledóchowski, Michał & Żuk, Piotr, 2022. "What drives portfolio capital inflows into emerging market economies? The role of the Fed's and ECB's balance sheet policies," Emerging Markets Review, Elsevier, vol. 51(PB).
    9. Kuan-Chieh Chen, 2022. "The Spillover Effects of US Unconventional Monetary Policy on the Taiwanese Economy," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 104-109, March.
    10. Carsten M. Stann & Theocharis N. Grigoriadis, 2020. "Monetary Policy Transmission to Russia and Eastern Europe," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 62(2), pages 303-353, June.
    11. Bhattarai, Saroj & Chatterjee, Arpita & Park, Woong Yong, 2021. "Effects of US quantitative easing on emerging market economies," Journal of Economic Dynamics and Control, Elsevier, vol. 122(C).
    12. Kabaca, Serdar & Tuzcuoglu, Kerem, 2024. "International transmission of quantitative easing policies: Evidence from Canada," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    13. Apergis, Nicholas & Chatziantoniou, Ioannis & Cooray, Arusha, 2020. "Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty," International Review of Financial Analysis, Elsevier, vol. 71(C).
    14. Kenourgios, Dimitris & Papadamou, Stephanos & Dimitriou, Dimitrios & Zopounidis, Constantin, 2020. "Modelling the dynamics of unconventional monetary policies’ impact on professionals’ forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    15. Gustavo Adler & Carolina Osorio Buitron, 2020. "Tipping the scale? The workings of monetary policy through trade," Review of International Economics, Wiley Blackwell, vol. 28(3), pages 744-759, August.
    16. Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2020. "International effects of a compression of euro area yield curves," Journal of Banking & Finance, Elsevier, vol. 113(C).
    17. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2022. "International spillover effects of unconventional monetary policies of major central banks," International Review of Financial Analysis, Elsevier, vol. 79(C).
    18. Antal, Mark & Kaszab, Lorant, 2022. "Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 113(C).
    19. Ouerk, Salima, 2023. "ECB unconventional monetary policy and volatile bank flows: Spillover effects on emerging market economies," International Economics, Elsevier, vol. 173(C), pages 175-211.
    20. Zekeriya Yildirim & Mehmet Ivrendi, 2021. "Spillovers of US unconventional monetary policy: quantitative easing, spreads, and international financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-38, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:57-:d:220488. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.