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

Hakan Berument () and Nildag Ceylan

Review of Middle East Economics and Finance, 2008, vol. 4, issue 2, 117-133

Abstract: 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.

Keywords: MENA countries; federal funds rate; monetary policy; VAR analysis (search for similar items in EconPapers)
Date: 2008
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DOI: 10.2202/1475-3693.1065

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