The Causal Relationship between Financial Stress and Uncertainties in Monetary Policy, with Investor Confidence and Expectations: An Application on E7 and G7 Countries

Mert Baran Tunçel

Makale detayları

The Causal Relationship between Financial Stress and Uncertainties in Monetary Policy, with Investor Confidence and Expectations: An Application on E7 and G7 Countries

Yazarlar:

Mert Baran Tunçel

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Fiscaoeconomia Vol.9 Issue 1, pp.497-515

Belge Tipi:

Makale

Yayın Tarihi:

2/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001341606

pISSN:

2564-7504

Anahtar kelimeler:

Özet:

 In this study, financial stress impact and monetary policy uncertainties on investor confidence and expectations were examined using monthly data for the period January 2010-April 2023. In addition, whether the relationships between variables differ between developed and developing country groups are evaluated. When determining the period of the study, the starting dates of the variables were considered. Due to deficiencies in the data of Canada, India and Russia, these countries could not be included in the study. In the study, St. Louis as an indicator of financial stress. The financial stress index FSI developed by the St. Louis Fed, the monetary policy uncertainty index MPU developed by Lucas Husted, John Rogers and Bo Sun in 2020 as an indicator of monetary policy uncertainty, consumer confidence index and market confidence index data were used as an indicator of investor confidence and expectations. According to the findings, it has been observed that financial stress and uncertainties in monetary policy have an impact on market confidence in some countries, both in E7 countries and G7 countries. Finally, while it was observed that financial stress did not affect consumer confidence in the E7 countries and only in the UK in the G7 countries, uncertainties in monetary policy were observed to be effective in various countries in both country groups.

 In this study, financial stress impact and monetary policy uncertainties on investor confidence and expectations were examined using monthly data for the period January 2010-April 2023. In addition, whether the relationships between variables differ between developed and developing country groups are evaluated. When determining the period of the study, the starting dates of the variables were considered. Due to deficiencies in the data of Canada, India and Russia, these countries could not be included in the study. In the study, St. Louis as an indicator of financial stress. The financial stress index FSI developed by the St. Louis Fed, the monetary policy uncertainty index MPU developed by Lucas Husted, John Rogers and Bo Sun in 2020 as an indicator of monetary policy uncertainty, consumer confidence index and market confidence index data were used as an indicator of investor confidence and expectations. According to the findings, it has been observed that financial stress and uncertainties in monetary policy have an impact on market confidence in some countries, both in E7 countries and G7 countries. Finally, while it was observed that financial stress did not affect consumer confidence in the E7 countries and only in the UK in the G7 countries, uncertainties in monetary policy were observed to be effective in various countries in both country groups.

 In this study, financial stress impact and monetary policy uncertainties on investor confidence and expectations were examined using monthly data for the period January 2010-April 2023. In addition, whether the relationships between variables differ between developed and developing country groups are evaluated. When determining the period of the study, the starting dates of the variables were considered. Due to deficiencies in the data of Canada, India and Russia, these countries could not be included in the study. In the study, St. Louis as an indicator of financial stress. The financial stress index FSI developed by the St. Louis Fed, the monetary policy uncertainty index MPU developed by Lucas Husted, John Rogers and Bo Sun in 2020 as an indicator of monetary policy uncertainty, consumer confidence index and market confidence index data were used as an indicator of investor confidence and expectations. According to the findings, it has been observed that financial stress and uncertainties in monetary policy have an impact on market confidence in some countries, both in E7 countries and G7 countries. Finally, while it was observed that financial stress did not affect consumer confidence in the E7 countries and only in the UK in the G7 countries, uncertainties in monetary policy were observed to be effective in various countries in both country groups.

 Bu çalışmada, finansal stres ve para politikasındaki belirsizliklerin yatırımcı güven ve beklentileri üzerindeki etkisi Ocak 2010-Nisan 2023 dönemine ait aylık veriler kullanılarak incelenmiştir. Ayrıca değişkenler arasındaki ilişkilerin gelişmiş ve gelişmekte olan ülke grupları için farklılık gösterip göstermedikleri de değerlendirilmiştir. Çalışmanın dönemi belirlenirken değişkenlerin başlangıç tarihleri dikkate alınmıştır. Kanada, Hindistan ve Rusyanın verilerindeki eksiklikler nedeniyle bu ülkeler çalışmaya dâhil edilememiştir. Çalışmada, finansal stresin göstergesi olarak St. Louis Fed tarafından geliştirilen finansal stres endeksi FSI, para politikası belirsizliğinin göstergesi olarak Lucas Husted, John Rogers ve Bo Sunun tarafından 2020 yılında geliştirilen para politikası belirsizlik endeksi MPU ve yatırımcı güven ve beklentilerinin göstergesi olarak da tüketici güven endeksi ve piyasa güven endeksi verileri kullanılmıştır. Elde edilen bulgulara göre E7 ve G7 ülkelerinde finansal stresin ve para politikasındaki belirsizliklerin piyasa güveninde bazı ülkelerde etkili olduğu görülmüştür. Son olarak, finansal stresin E7 ülkelerinde tüketici güvenini etkilemediği G7 ülkelerinde ise sadece İngilterede etkilediği görülürken, para politikasındaki belirsizliklerin ise iki ülke grubunda da çeşitli ülkelerde etkili olduğu görülmüştür.

Makale detayları

The Causal Relationship between Financial Stress and Uncertainties in Monetary Policy, with Investor Confidence and Expectations: An Application on E7 and G7 Countries

Yazarlar:

Mert Baran Tunçel

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Fiscaoeconomia Vol.9 Issue 1, pp.497-515

Belge Tipi:

Makale

Yayın Tarihi:

2/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001341606

pISSN:

2564-7504

Financial Stress

Monetary Policy Uncertainty

Carrion-i Silvestre Unit Root Test

Fourier Toda - Yamamoto Causality Test

Investor SensitivityFinansal Stres

Para Politikası Belirsizliği

Carrion-i Silvestre Birim Kök Testi

Fourier Toda -Yamamoto Nedensellik Testi

Yatırımcı Duyarlılığı

Sayı

Makale detayları

Yazarlar: Mert Baran Tunçel

Yayıncı: Ahmet Arif EREN

Ana Başlıklar: Finans | Finans ve Yatırım (Diğer)

Dergi: Fiscaoeconomia Vol.9 Issue 1, pp.497-515

Belge Tipi: Makale

Yayın Tarihi: 2/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001341606

pISSN: 2564-7504

Sayı

Yazarlar:

Mert Baran Tunçel

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Fiscaoeconomia Vol.9 Issue 1, pp.497-515

Belge Tipi:

Makale

Yayın Tarihi:

2/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001341606

pISSN:

2564-7504