Effect of quantitative easing periods on volatility of commodity, foreign exchange and stock exchange markets

Recently, monetary policies are intensively used by central banks. Particularly, after the global crisis of 2008, it has been observed that four major central banks, FED, BOE, ECB and BOJ, have increased their monetary base through application of their respective programs. Among them, Quantitative Easing (QE) programs of FED is considered to be quite effective on global finance. In this study, effect of QE1, QE2 and QE3 periods on volatilities of commodity and foreign exchange markets and of stock index assets were attempted to be measured. Accordingly, two commodities with gold and oil prices, an USD/TL exchange rate and two stock indexes from BİST30 and S&P500 were used. For the assets that were analyzed, first, the relevant ARIMA models and then, the relevant GARCH model were determined and volatility was modelled accordingly.