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US Monetary Policy Surprises and Foreign Interest Rates: Evidence from a Set of MENA Countries

Listed author(s):
  • Berument Hakan

    (Bilkent University)

  • Ceylan Nildag Basak

    (Atilim University)

This paper assesses the response of a set of emerging markets' domestic interest rates to the US monetary policy surprises within a dynamic framework. Monthly data from Algeria, Bahrain, Israel, Jordan, Kuwait, Tunisia and Turkey for the 1989:03 to 2005:12 period reveal positive effects of the unanticipated Federal Funds target changes on the short-term interest rates of these countries. When we look at the effect of US monetary policy surprises for different Turkish interest rates, the evidence is robust for the 3 and 12-month rates, but government controlled interbank and treasury auction rates have reverse positions.

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Article provided by De Gruyter in its journal Review of Middle East Economics and Finance.

Volume (Year): 4 (2008)
Issue (Month): 2 (April)
Pages: 117-133

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Handle: RePEc:bpj:rmeecf:v:4:y:2008:i:2:n:5
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