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The Future of the Stock Market Channel In Egypt

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  • Maged Shawky Sourial

    (Ministry of Foreign Trade)

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    Abstract

    The paper attempted to identify the degree of predictability of stock market returns from monetary variables and whether the stock market could be an alternate channel for transmitting monetary policy rather than the traditional money and credit channels. The empirical investigation was conducted using Bayesian VAR models consisting of four endogenous variables with four lags and a constant. Monthly data used in the estimation are the actively traded stocks HFI returns to represent market performance and inflation rate, as well as growth in both M1 and M2, and growth of credit to the private sector to represent the monetary stance. Empirical investigation showed, currently, the effectiveness of the credit channel in transmitting the monetary policy as well as the balance sheet channel. Nevertheless, the results provided evidence that in the future the stock market could be an effective channel in transmitting the monetary policy rather than the traditional credit channel.

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    File URL: http://128.118.178.162/eps/fin/papers/0204/0204002.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series Finance with number 0204002.

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    Length: 60 pages
    Date of creation: 20 Apr 2002
    Date of revision:
    Handle: RePEc:wpa:wuwpfi:0204002

    Note: Type of Document - pdf; pages: 60; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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    Web page: http://128.118.178.162

    Related research

    Keywords: Baysian VAR Models; Egyptian Stock Market; Monetary Channels;

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    References

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