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A Fed szigorodó monetáris politikájának hatása az eszközárakra a feltörekvő piacokon
[The effect of incipient tapering on asset prices in emerging markets]

Author

Listed:
  • Szabó, Zsolt

Abstract

Az Egyesült Államok eszközvásárlási programjának 2014 elején indult szigorítása jelentős mértékű globális portfólióátcsoportosításhoz és az eszközárak zuhanásához vezetett a feltörekvő piacokon. A szerző lineáris regressziós és klaszterelemzési módszerekkel vizsgálja a fokozatos szigorítás (tapering) első két hónapjának részvénypiaci, devizapiaci és állampapír-piaci hatásait ezekben a gazdaságokban. Kiemelt figyelmet szentel a Fed monetáris szigorításával szembeni védelemnek, illetve a terhet jelentő nemzetgazdasági szintű tényezőknek. Eredményei alapján megállapítható, hogy általában azok a gazdaságok voltak védettebbek a 2014. január második felében felgyorsult eszközárzuhanásokkal szemben, amelyek versenyképesebbeknek bizonyultak, növekedési kilátásaik kedvezőbben alakultak, a folyó fizetési mérlegük többletet mutatott, valamint pénzpiacaik nyitottabbak voltak. A tőkepiacok mérete, a devizatartalékok szintje, valamint az államadósság mértéke semleges hatást gyakorolt a vizsgált gazdaságok védettségére, míg a politikai stabilitás és a költségvetési fegyelem fokozta a pénzügyi eszközök elértéktelenedésének ütemét.* Journal of Economic Literature (JEL) kód: E58, F21, F65, G12, G15.

Suggested Citation

  • Szabó, Zsolt, 2014. "A Fed szigorodó monetáris politikájának hatása az eszközárakra a feltörekvő piacokon [The effect of incipient tapering on asset prices in emerging markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 693-718.
    • Handle: RePEc:ksa:szemle:1487
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    References listed on IDEAS

    as
    1. Fratzscher, Marcel, 2012. "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 341-356.
    2. Eichengreen, Barry & Gupta, Poonam, 2015. "Tapering talk: The impact of expectations of reduced Federal Reserve security purchases on emerging markets," Emerging Markets Review, Elsevier, vol. 25(C), pages 1-15.
    3. Forbes, Kristin J. & Warnock, Francis E., 2012. "Capital flow waves: Surges, stops, flight, and retrenchment," Journal of International Economics, Elsevier, vol. 88(2), pages 235-251.
    4. Fernanda Nechio, 2014. "Fed tapering news and emerging markets," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.
    5. Lane, Philip & Milesi-Ferretti, Gian Maria, "undated". "External Wealth of Nations," Instructional Stata datasets for econometrics extwealth, Boston College Department of Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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