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The Future of the Stock Market Channel In Egypt

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Author Info
Maged Shawky Sourial (Ministry of Foreign Trade)
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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Paper provided by EconWPA in its series Finance with number 0204002.

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

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

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

This paper has been announced in the following NEP Reports:

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    Other versions:
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    Other versions:
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