Granger Causality of Exchange Rates And Stock Indices in 10 Emerging Market Countries: During Quantitative Easing and Tapering Off Period

DOI

10.2991/icbmr-18.2019.6How to use a DOI?

Keywords

emerging market, exchange rate, quantitative easing, stock indices, tapering off

Abstract

This study was conducted to see the strength of Emerging Market economies (EM) to withstand shocks that arise when The Fed changes the Quantitative Easing (QE) to Tapering Off policy (TO). The EM countries in this study were selected based on trade relations with the US; those are China, India, South Korea, Taiwan, Indonesia, Argentina, Brazil, Mexico, Russia, and Turkey. This study was also conducted by using Granger Causality method and VAR, then comparing the result of each variable (S & P 500 index, EM's stock index, and exchange rate) before and after the implementation of QE and TO (January 1st, 2008 - December 31st, 2017). The Granger Causality test results show that there is a change in direction from QE to TO period in most EM countries. This change reflects that the shock of TO policy did not directly bring down the capital market of EM countries despite capital outflows. EM countries are believed to have strong domestic and regional economies, so there is an economic transmission when the shock occurs.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Samitra Rismadani
PY  - 2019/03
DA  - 2019/03
TI  - Granger Causality of Exchange Rates And Stock Indices in 10 Emerging Market Countries: During Quantitative Easing and Tapering Off Period
BT  - Proceedings of the 12th International Conference on Business and Management Research (ICBMR 2018)
PB  - Atlantis Press
SP  - 32
EP  - 37
SN  - 2352-5428
UR  - https://doi.org/10.2991/icbmr-18.2019.6
DO  - 10.2991/icbmr-18.2019.6
ID  - Rismadani2019/03
ER  -