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

Abstract

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

Date of Award	2015 Jul 15
Original language	English
Supervisor	Hui-Ching Sana Hsieh (Supervisor)