Uncovering the Financial Effects of the Exchange Rate Regime Transition in Egypt

Karen Davtyan and Omar Elkaraksy ()
Additional contact information
Omar Elkaraksy: Departament d'Economia Aplicada, Universitat Autònoma de Barcelona (UAB)

Working Papers from Department of Applied Economics at Universitat Autonoma of Barcelona

Abstract: We evaluate the financial effects of monetary policy over the transition period from a fixed to a floating exchange rate regime in Egypt. The baseline evaluation is implemented through an event study methodology (high frequency identification) by estimating the effects of monetary policy announcements on financial indicators. The results reveal that a currency devaluation leads to a significant increase in stock prices. A change in the monetary policy interest rate significantly affects treasury yields. It takes more time for treasury yields with longer maturities to reflect the effects of monetary policy announcements. The results are mainly driven by the period when the exchange rate regime was closer to a floating system. The results also highlight the importance of politically and economically stable environment for the efficient transmission of monetary policy.

Keywords: monetary policy; financial markets; exchange rate regime; developing economy; Egypt (search for similar items in EconPapers)
Pages: 37 pages
Date: 2024-12
New Economics Papers: this item is included in nep-ara, nep-cba, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ecap.uab.cat/RePEc/doc/wpdea2407.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uab:wprdea:wpdea2407

Access Statistics for this paper

More papers in Working Papers from Department of Applied Economics at Universitat Autonoma of Barcelona Contact information at EDIRC.
Bibliographic data for series maintained by Dept. Economia Aplicada ().