Monetary policy, exchange rates and stock prices in the Middle East region

Abou Wafia, H. 2015. Monetary policy, exchange rates and stock prices in the Middle East region. International Review of Financial Analysis. 37, pp. 14-28. doi:10.1016/j.irfa.2014.11.001

TitleMonetary policy, exchange rates and stock prices in the Middle East region
AuthorsAbou Wafia, H.
Abstract

A structural vector autoregressive model is employed to investigate the impact of monetary policy and real exchange rate shocks on the stock market performance of Kuwait, Oman, Saudi Arabia, Egypt and Jordan. In order to identify the structural shocks both short run and long run restrictions are applied. Unlike previous literature the contemporaneous interdependence between the financial variables are left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflect the different monetary policy frameworks and stock market characteristics of these countries. Mainly, monetary policy and the real exchange rate shocks have a significant short run impact on the stock prices of the countries that apply a relatively more independent monetary policy and flexible exchange rates.

KeywordsSVAR, Monetary Policy, Asset Prices, Emerging Financial Market
JournalInternational Review of Financial Analysis
Journal citation37, pp. 14-28
ISSN1057-5219
Year2015
PublisherElsevier
Accepted author manuscriptAbou_Wafia_2015_AAM.pdf
Digital Object Identifier (DOI)doi:10.1016/j.irfa.2014.11.001
Publication dates
PublishedJan 2015

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Permalink - https://westminsterresearch.westminster.ac.uk/item/8y7yz/monetary-policy-exchange-rates-and-stock-prices-in-the-middle-east-region


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