Fed Interest Rate Research Articles

Level Analysıs of the Relatıonshıp Between Inflatıon, Exchange Rate, Cbrt and Fed Interest Rates of Turkısh Foreıgn Trade

Foreign trade has become one of the important elements of the financial structure of countries. Money transfer mechanisms have the power to determine the direction of trade in the world. In the study; Türkiye's exports acording to the country groups were used. In the period 2013:1-2023:11; Panel cointegration, Autoregressive Distributed Lag (ARDL) and Granger causality analyses were used to determine the relationship levels between the Central Bank of the Republic of Türkiye (CBRT), Federal Reserve System (FED) interest rates, Wholesale Price Index (WPI), Consumer Price Index (CPI) and Türkiye's foreign trade. has been used. As a result of the study; Findings have been obtained that Turkish exports are not affected by the CBRT interest rate decisions and WPI in the short or long term. While the increase in FED interest rates causes a decrease in all of Türkiye's exports in the long term, it reduces exports to the Turkic Republics, OECD, EFTA, BSEC, CIS, OIC and D8G in the short term. It has been concluded that while there is a unidirectional causality relationship between the CBRT and FED interest rates, WPI and CPI and Türkiye's exports, there is a bidirectional causality relationship between the exchange rate and Türkiye's exports.

Analyzing the Relationship Between the Fed Interest Rates and Foreign Exchange Markets

The research on analyzing the relationship between fed interest rates and foreign exchange markets aims to establish how fed interest rates and foreign exchange rates are related based on capital flow between different countries. The research is to answer the question of how changes in federal interest rates affect capital flow between other countries since it affects the foreign exchange market. The research reviews various scholarly journals as a source of literature on previous studies done within the research area. The methodology to be applied is the empirical research approach. Data is to be collected from verified journals and research papers. Linear aggression is the data analysis method for the research, and XSLAT software will be used in data analysis. Independent and dependent variables will be developed based on the research objectives to help the study. Secondary analysis using linear aggression has been preferred because of how reliable, time-saving and cost-effective. The expected results from the research show that changes in federal interest rates affect the flow of capital since foreign exchange is implicated. Factors such as currency value and economic level influence federal interest rates and foreign exchange.

Correlation between the ECB Pandemic Policy and the STOXX Europe 600 Sector Performance Sensitivity

In 2022 European equity markets lost some of their value, led by high-growth sectors, which generally have a significantly higher growth rate. The prevailing academic opinion is that the European Central Bank's monetary policy during the COVID-19 pandemic is a key reason and the financial and the technology sectors are defined to be particularly sensitive to interest rates. In this context, a performance sensitivity analysis for the STOXX Euro 600 sectors on European Central Bank interest rates from 2020 to 2022 will be investigated based on the assumption of a significant interest rate sensitivity. The objective is achieved with a Pearson correlation and linear regression. The results confirm a correlation for the selected sectors, indicating a potential general sensitivity for the entire investigation period. On this basis, further research on sectors and variables such as inflation and a comparison with Fed interest rates and the S&P 500 is recommended.

Economic and financial developments of the USA before and after the pandemic of covid-19

The global pandemic of Covid-19, being an unpredicted event, has caused a collapse in the entire world economy. Different countries have taken different approaches to deal with the economic problems derived from it. This paper aims to make an analysis of the economic and financial developments of the USA by figuring out the condition before and after the pandemic. An important stress will be put on the monetary policy followed by the government of the USA. For a good analysis, a comparison between economic indicators and their behavior, before and after the pandemic, will be done, ft will be discussed about the economic activity, the labor market, inflation and the economic and financial stability. These unusual conditions have their effect also in the financial market. The credit quality of firms as well as the performance of financial institutions is mostly affected. The yields on securities and the spread of yields of bonds in comparison with treasury bills is also an important indicator to be studied. Given the problematic situation the government of the USA tried to influence through the monetary and the fiscal policy. The increase on the money supply by keeping the FED interest rates near to zero has been one of the measures for recovering the economy. Another important measure to address the problem has been the safeguarding of the market functioning. On the other hand, the help of the government by the fiscal policy has been immediate, even though it is expected to increase the government outlays. The methodology used by this paper will be a theoretical comparison of economic development before and after the pandemic, based on row data generated by the reports of Federal Reserves. Statistical data will also be used in order to support the analysis. ft concludes that the pandemic has affected the entire world, not only from the health viewpoint bat economically as well. The USA, as the leading economy in the world faced the challenge of finding the most appropriate measures to recover from the downturn. The effects of its policies will continue in the long run and there is needed some time to overcome them.

Pengaruh Indeks Dow Jones, Suku Bunga The Fed, Dan Bitcoin terhadap IHSG

This research was conducted to examine the effect of the Dow Jones Index, The Fed Interest Rate, and Bitcoin on the Indonesian Composite Stock Price Index (IHSG). The data used is secondary data taken based on closing prices and monthly fluctuations from financial websites. The population is in the form of time series data for 58 months starting from 1 June 2018 to 31 March 2023 using a saturated sample. Data analysis in the study used the classical assumption test (multicollinearity, heteroscedasticity, autocorrelation, normality), multiple linear regression, determinant coefficient, and T test. The results showed that the Dow jones index had a positive effect on the JCI, The Fed's interest rate had a positive effect on the JCI, and Bitcoin has no effect on the JCI. The test results stated that the Dow Jones Index had a positive influence on the JCI, The Fed's Interest Rate had a positive influence on the JCI, and Bitcoin had no influence on the JCI.
 Keywords: Bitcoins; Dow Jones; IHSG; The Fed

How do funding diversity and non-performing loans affect bank performance in different economic cycles?

This paper aims to study the impacts of bank funding diversity, non-performing loans (NPLs), and business cycles on bank performance. We employ Fixed Effect Models and the two-step system Generalized Method of Moments to examine a sample of 37 Vietnamese banks from 2005 to 2020. Our findings report that a one percentage point increase in the funding diversity index empowers ROA by 0.031 percentage points. Our results indicate that one positive standard deviation of real GDP from the trend calculated by the Hodrick-Prescott filter increases the ROA by 0.004 percentage points. However, a percentage point increase in non-performing loans reduces ROA by 0.075 percentage points. Our findings are also robust in various proxies of bank performance, economic cycles, and FED interest rate cycles. The findings help determine the optimal funding strategy for policymakers and bank managers. These findings suggest that bank managers develop long-term credit policies to control NPLs, improving sustainable performance. Regulators closely monitor macroeconomic factors to maintain banking stability in different economic stages. Our findings align with the diversification theory, trade-off theory, and prior literature.

Reaksi Pasar atas Pengumuman Suku Bunga the Fed pada Sektor Perbankan yang Terdaftar di Indonesia

This study aims to find out and test the market reaction around the announcement date indicated by abnormal returns around the date, to find out and test the market reaction around the announcement date indicated by trading volume activity around the date, and to find out and test the differences in the sample t-test. This research involved 46 banks listed on the Indonesia Stock Exchange. The method of determining the sample used in this study is by using a saturated sample where all members of the population are sampled. This study uses secondary data from the financial statements of banking companies listed on the IDX. Testing the data using the average difference test method. The results of the study show that there is no significant difference in abnormal returns before and after the announcement of the increase in the FED interest rate by the FOMC in the banking sector in Indonesia. Tests on trading volume activity show that there are significant differences in transaction volume before and after the announcement of the increase in the FED interest rate by the FOMC in the banking sector in Indonesia.
 Keywords: Fed Fund Rate; Abnormal Return; Total Volume Activity

Will Gold Prices Persist Post Pandemic Period? An Econometric Evidence

Recurrent stock market fall and rise sequel by COVID-19, rising global inflation, increase in Fed interest rates, the unprecedented meltdown of technology stocks, fear of trade wars, tightening of governments’ fiscal policies call for a new trend in international investing. It is time for the investors to rethink, rebalance and reset their investment strategies to position and protect their portfolios during and post-pandemic period. This paper attempts to forecast the gold prices for the post-pandemic era and explores whether gold will serve as a decisive hedge during this transition period. The techniques of ARCH, GARCH, E-GARCH, A-PARCH, and GARCH-M is employed in forecasting the conditional volatility of gold spot price from Multi Commodity Exchange (MCX) of India. A total of 3631 observations were collected from the daily spot prices of gold from January 2009 to December 2022. The findings show that the gold prices in India are highly persistent similar to other emerging markets and that gold will remain a safe haven for investors and institutional investors in the post-pandemic period. This paper is the first of its kind to forecast gold prices for the post-pandemic period. The forecast price of 10-gram gold is expected to trade for 65,948 ₹ in the Indian MCX by 2026 if the gold prices behold its previous momentum. This forecast will help the investors to plan their portfolio diversification for the post-pandemic period.

ANALYSIS OF FACTORS AFFECTING THE COMPOSITE STOCK PRICE INDEX OF CONSUMPTION GOODS IN THE INDONESIA STOCK EXCHANGE

Uncertainty in the world economy has and will continue to overshadow any composite stock price index anywhere. This study aims to examine the effect of domestic inflation, the Fed interest rate and the volume of stock transactions on the composite stock price index of the Consumer Goods Sector in Indonesia for the period January 2018-April 2021, a period before the Russia- Ukraine war. Multiple linear regression equations were used to analyze the data, sourced from Bank Indonesia, the Indonesia Stock Exchange, and The Federal Reserve. The results showed that all proposed variables had a significant effect on the composite stock price index of the consumer goods sector. These results provide an indication that the inflation rate in a country and the interest rate policy of the United States Central Bank, its can affect a country composite stock price index, while the volume of consumer goods stock transactions also affects its stock price index

ANALYSIS OF THE CORRELATION BETWEEN CRYPTO CURRENCIES, S&P500 AND US 10-YEAR TREASURY BOND INDEX WITH GRANGER CAUSALITY TEST

Blockchain-based cryptocurrencies have gained popularity in television and digital media channels with the highest value records of all time broke in a row, both in academic studies and in recent times. In the framework of the study conducted to provide data to those who want to assess their investments in blockchain-based cryptocurrencies. In the research it is aimed to examine correlation between Bitcoin as an independent variable and S&P500 Index, US 10-year Treasury and altcoins like Ethereum, Cardano, Chainlink with Granger causality test. Findings shows that Chainlink as an investment tool has the highest return with 6.22% and it is followed by Cardano with 5.74%, Ethereum with 5.20% and ultimately Bitcoin. The US 10-year Treasury offers not only the lowest rate of return with 10% loss but also riskier tool than Bitcoin. S&P500 Index offers lower rate of return and riskier in comparison with FED interest rate. According to the covariance values, it has been determined that Bitcoin has an increasing linear relationship with Ethereum, Cardano and Chainlink, and a decreasing linear relationship with the FED interest rates and US 10-year Treasury, while it is unrelated to the S&P500 Index.

"The Fed Interest Rate" Bank Indonesia Policy First Quarter of 2022

The United States' monetary policy is a monetary policy that the world economy, including Indonesia, pays attention to and is wary of. Along with high inflation rates, the United States Central Bank The Federal Reserve (The Fed) tightened monetary policy more to maintain stability. This research is a descriptive qualitative research type. The purpose of this research is to find out how the policy of Bank Indonesia towards the increase in the Fed. Through the explanation in this research, it is found that Bank Indonesia makes monetary and financial sector policies as well as maintains macroeconomic and financial system stability and encourages national economic recovery.

Dampak Indeks Nikkei 225, Indeks Dow Jones, Suku Bunga FED, dan Inflasi Terhadap IHSG

The focus of this study is to analyze the impact of the movement of the Nikkei 225 Index, the Dow Jones Index, Fed Interest Rates, and Inflation on the JCI. Determination of the sample in this study using a saturated sampling method with a total of 60 samples. The data obtained were analyzed using multiple linear regression analysis techniques with the SPSS program. Based on the results of the analysis and discussion in this study, the results showed that the Nikkei 225 Index and the Fed Interest Rate had a negative effect on the JCI, while the Dow Jones Index had a positive effect on the JCI. The results of this study also show that inflation has no effect on the JCI. This study provides empirical evidence for investors that the increase in the Composite Stock Price Index is inversely proportional to the Nikkei 225 Index, and Fed interest rates, but directly proportional to the Dow Jones Index. This means that an increase in the Dow Jones Index will be followed by an increase in the JCI, but if an increase in the Nikkei 225 Index and the Fed interest rate will lower the JCI.

Monetary Policy and Unemployment—A Study on the Relationship Exists in the United States

This paper intends to make research on the relationship between monetary policy and unemployment of the United States from the first quarter of 1983 to the second quarter of 2018. Data is collected and later divided into two groups, namely an ex-crisis group and a post-crisis group, based on the event of the 2008 world financial crisis. This paper uses an extended version of the original Taylor’s rule by adding the concept of unemployment degree. The results suggest that in both periods, the unemployment gap degree does make a positive impact on the Fed interest rate and has a constantly significant impact on the Fed rate. As a result, Central Banks should adopt an easy monetary policy to stimulate the domestic economy from recession.

DETERMINANT ANALYSIS OF FINANCIAL SECTOR STOCK IN INDONESIA STOCKS EXCHANGE

These research had purposed to examine related to macroeconomic variables on financial sector stock index in Indonesia Stock Exchange. This research used Vector Error Correction Model (VECM) method with monthly data from financial sector stock index as the dependent variable and the GDP quarterly data, as well as monthly data on inflation, BI interest rates, exchange rates, the Fed interest rate, gold prices, oil prices,and also the S&P 500 index as independent variable with data range from January 2014 to August 2019. These results that obtained from this research were the shocks in BI interest rate variable and the exchange rate which have positive responses in the long term, while the GDP, inflation, and Fed interest rates , gold prices, oil prices, and the S&P 500 index responded negatively in the long term by the financial sector stock index. Beside that, the BI interest rate variable has the greatest contribution in changed of financials stock index.

Pengaruh Indeks SSEC, N225, STI, dan Faktor Makroekonomi terhadap IHSG

This study is to determine the effect of the exchange rate, inflation, the money supply, BI Rate, The Fed, SSEC (Shanghai Stock Exchange Composite Index), N225 (Nikkei 225), and STI (Strait Time Index) on the Composite Stock Price Index. The dependent variable is the CSPI (Y) and the independent variable of macroeconomic factors namely the exchange rate (X1), inflation (X2), money supply (X3), and BI Rate (X4), The Fed (X5), and the global index such as SSEC (X6), Nikkei 225 (X7), and STI (X8). This study implements multiple linear regression analysis methods of Statistical Package for Social Science. This study indicates that the exchange rate and the Strait Time Index influence the Composite Stock Price Index, while the inflation variable, the money supply, BI Rate, The Fed interest rate, the SSEC, and the Nikkei 225 don’t affect the CSPI (Composite Stock Price Index). Inflation doesn’t affect the CSPI because inflation in the research period is still relatively mild. The money supply doesn’t affect the CSPI because people tend to use their money to invest in the money market rather than investing in shares. The BI rate doesn’t affect CSPI because the BI Rate is not a parameter for investors in investing. The Fed doesn’t affect CSPI because investors do not use The Fed Rate as a benchmark in investing. SSEC and N225 index don’t affect the CSPI due to other factors outside the economy that affect the movement of the index.

The Impact of Interest Rate Changes by Federal Reserve on Turkey

Central banks play an important role in the direction of capital flows through the interest rate channel. Capital flows also impact the exchange rate, which are important goals of monetary policy. Due to the prominence of the U.S. Dollar in international trade, decisions made by the Federal Reserve Bank (FED) also affect the decisions of Central Banks of other countries. During the 2008 financial crisis the FED reached the zero-bound of its policy rate (the federal funds rate) and engaged in quantitative easing. This lead to capital outflows from developing countries, who then raised interest rates defensively to protect their economies from adverse effects in their terms of trade. This study examines the relationship between interest rates, effective exchange rates and growth by means of Granger Causality test, as a result of interest rates determined by FED in post-2003 period, in the direction of the interest rate Central Bank of the Republic of Turkey (CBRT/TCMB) applies to Dollar deposits. Turkey is a country that floats its exchange rate but protects against large movements. According to analysis results, the decisions made by CBRT are affected by FED interest rate changes. On the other hand, it was concluded that there was not any effect of CBRT interest rates on the exchange rate, consistent with its floating regime.

Asymmetric volatility and macroeconomic factors on Indonesian government bond returns

Macroeconomic are important variables influencing volatility in the bond market. Some of the challenges faced such as default risk, liquidity risk, interest rate risk, inflation risk, and exchange rate risk. This study is aimed at examining asymmetric volatility using the EGARCH model and at estimating macroeconomic variables which influence the return of Indonesian Government bonds. The asymmetric volatility can be measured by determining the best order value of the EGARCH model. Based on the findings of the study, EGARCH (2.1) is the best model for assessing volatility in short-term SUN returns, EGARCH (3.1) for medium-term SUN and EGARCH (2.3) for the long term. The asymmetric volatility pertains in the returns of short, medium and long-term government bonds. In addition, the negative information has a greater impact than positive information in the short, medium and long term. The deposit rate and return of the Composite Stock Price Index have a significant positive effect on short, medium and long term bond returns. The effective federal funds rate or FED interest rate has a significant positive effect on the return of short and long-term SUN bonds while in the medium term it has no effect. Exchange rates have a significant negative effect on short, medium and long term bond returns. JEL Classification: D13, I31, J22 DOI : https://doi.org/10.26905/jkdp.v23i3.2613

Unemployment, Consumer Confidence, Business Confidence, Inflation and Monetary Policy

This study examines how unemployment rate dynamically responds to shocks to consumer confidence, business confidence, inflation and monetary policy. Based on the vector autoregressive (VAR) analysis of the monthly data from 1978:M2 to 2012:M5, the results show that unemployment negatively responds to shocks to consumer confidence and business confidence. While consumer confidence is not responsive to FED interest rate shock, business confidence negatively responds to FED fund interest rate shock. The results also show consumer confidence and business confidence Granger-cause unemployment, and inflation Granger-causes consumer confidence. However, inflation and Fed Fund interest rate do not Granger-cause unemployment movement. For the 12-month horizon, the unemployment forecast error is 71% due to its own shock, 11% due to consumer confidence shock, 13% due to business confidence shock, 1.10% due to inflation shock, and 3% due to Fed Fund interest rate shock.

External monetary shocks and monetary integration: Evidence from the Bulgarian currency board

Starting July the 1st 1997, Bulgaria adopted a Currency Board (CB) monetary system. This paper aims at investigating if the adoption of the CB monetary system, which involves the cost of losing monetary autonomy, has provided a relatively better (with respect to other CEEC) monetary integration of Bulgaria with the European Monetary Union (EMU). Since Bulgarian monetary variables are endogenous under a CB, we focus on the ECB and FED interest rates as the main sources on monetary volatility. First, we find that ECB shocks are more rapidly absorbed and have less significant impact of domestic variables, with respect to other external monetary shocks (FED rate changes). Second, the responses of Bulgarian variables following changes in the ECB interest rate present lower persistence and significance, with respect to what the previous literature emphasized for other CEEC with monetary autonomy. This latter result still holds when accounting for different sources of cross-country heterogeneity outlined in the literature, thus supporting that the adoption of the CB may have worked as a rather good device in terms of integration of Bulgaria into the EMU.

External Monetary Shocks and Monetary Integration: Evidence from the Bulgarian Currency Board

Starting July the 1st 1997, Bulgaria adopted a Currency Board (CB) monetary system. This paper aims at investigating if the adoption of the CB monetary system, which involves the cost of loosing monetary autonomy, has provided a relatively better (with respect to other CEEC) monetary integration of Bulgaria with the European Monetary Union (EMU). Since Bulgarian monetary variables are endogenous under a CB, we focus on the ECB and FED interest rates as the main sources on monetary volatility. First, we find that ECB shocks are more rapidly absorbed and have less significant impact of domestic variables, with respect to other external monetary shocks (FED rate changes). Second, the responses of Bulgarian variables following changes in the ECB interest rate present lower persistence and significance, with respect to what the previous literature emphasized for other CEEC with monetary autonomy. This latter result still holds when accounting for different sources of cross-country heterogeneity outlined in the literature, thus supporting that the adoption of the CB may have worked as a rather good device in terms of integration of Bulgaria into the EMU.