Tanago, Rido (2019) Dampak Kebijakan Moneter Unconventional The Federal Reserve Terhadap Pasar Keuangan Negara-Negara Fragile Five. Doctor thesis, Universitas Brawijaya.
Abstract
Penelitian ini bertujuan untuk mengetahui dampak Federal Funds Rate dan M2 Amerika Serikat terhadap Government Bond Yield, Sovereign Credit Default Swap Spread, Stock Price Index, Exchange Rate, dan Interest Rate negara-negara Fragile Five. Penelitian ini menggunakan model Structural Vector Auto Regression (SVAR) dengan menggunakan data sekunder yakni data mingguan dari periode minggu pertama tahun 2008 sampai dengan minggu ke-lima puluh dua tahun 2017. Hasil: Federal Funds Rate Amerika Serikat berdampak positif terhadap Government Bond Yield dan Sovereign Credit Default Swap Spread negara-negara Fragile Five, terkecuali berdampak negatif terhadap Government Bond Yield dan Sovereign Credit Default Swap Spread India, terjadi anomali. Federal Funds Rate Amerika Serikat berdampak negatif terhadap Stock Price Index dan Exchange Rate negara-negara Fragile Five. Federal Funds Rate Amerika Serikat berdampak positif terhadap Interest Rate South Africa dan Turkey tetapi berdampak negatif terhadap Interest Rate Brazil, Indonesia, dan India, terjadi anomali. M2 Amerika Serikat berdampak negatif terhadap Government Bond Yield dan Sovereign Credit Default Swap Spread negara-negara Fragile Five. M2 Amerika Serikat berdampak positif terhadap Stock Price Index negara-negara Fragile Five. M2 Amerika Serikat berdampak positif terhadap Exchange Rate Brazil dan Indonesia tetapi berdampak negatif terhadap Exchange Rate India, South Africa dan Turkey, terjadi anomali. M2 Amerika Serikat berdampak negatif terhadap Interest Rate negara-negara Fragile Five.
English Abstract
The objective of this study is to identify the effect of United States’ Federal Funds Rate and M2 of the United States on the Government Bond Yield, Sovereign Credit Default Swap Spread, Stock Price Index, Exchange Rate, and Interest Rate of the Fragile Five. Using Structural Vector Auto Regression on secondary weekly data from the first week of 2008 to the fifty second week of 2017, this study finds that the US’ Federal Funds Rate has positive effects on the Government Bond Yield and Sovereign Credit Default Swap Spread of the Fragile Five, but their effects are negative in India; an anomaly occurs. The US’ Federal Fund Rate negatively affects the Stock Price Index and Exchange Rate of the Fragile Five. The effect the US Federal Funds Rate is positive on the interest rate of South Africa and Turkey but negative in Brazil, Indonesia, and India; an anomaly occurs. Further, the US’ M2 has negative effects on the Government Bond Yield and Sovereign Credit Default Swap of the Fragile Five, but it positively affects their Stock Price Index. In addition, the US’ M2 positively affects the Exchange Rate of Brazil and Indonesia and negatively affects the one in India, South Africa, and Turkey; an anomaly occurs. Finally, the US’ M2 negatively affects the Interest Rate of the Fragile Five.
Other obstract
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| Item Type: | Thesis (Doctor) |
|---|---|
| Identification Number: | DIS/332.46/TAN/d/2019/061911456 |
| Uncontrolled Keywords: | Federal Funds Rate; M2; Government Bond Yield; Sovereign CDS Spread; Stock Price Index; Exchange Rate; Interest Rate. |
| Subjects: | 300 Social sciences > 332 Financial economics > 332.4 Money > 332.46 Monetary policy |
| Divisions: | S2/S3 > Doktor Ilmu Ekonomi, Fakultas Ekonomi dan Bisnis |
| Depositing User: | Endang Susworini |
| Date Deposited: | 16 Feb 2022 03:26 |
| Last Modified: | 16 Feb 2022 03:26 |
| URI: | http://repository.ub.ac.id/id/eprint/189777 |
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