On the Linkage between Monetary Policy and MENA Stock Markets
Relatively little empirical evidence is available that estimates the relationship between asset price movements and monetary policy measures. This paper, which is the first study that focuses on the linkage between monetary policy and stock market prices, aims at analyzing the interaction between monetary policy and asset markets in eight MENA countries. The countries considered in this study are: Bahrain, Egypt, Jordan, Morocco, Oman, Saudi Arabia, Tunisia, and Turkey. To this end, VAR methodology is used. The nature of the relationship between asset price movements and monetary policy is currently a hotly debated topic in macroeconomics. The chief findings put forward by this study are the following: (i) In Bahrain, Oman, Jordan and Saudi Arabia monetary policy seems to have a significant impact on stock market returns. (ii) The monetary policies of Tunisia, Morocco and to a less extent those of Egypt do not significantly impact on equity prices. (iii) Better still, monetary policies’ reactions to stock market price movements are far from being homogenous across countries. While Saudi Arabian and Jordanian monetary authorities respond vigorously to an increase in stock market returns, the other countries do not seem to exhibit any reaction. The paper attempts to provide some explanations.
|Date of creation:||Jan 2009|
|Date of revision:||Jan 2009|
|Publication status:||Published by The Economic Research Forum (ERF)|
|Contact details of provider:|| Postal: 21 Al-Sad Al Aaly St. Dokki, Giza|
Web page: http://www.erf.org.eg
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:erg:wpaper:455. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Namees Nabeel)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.