EconPapers    
Economics at your fingertips  
 

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

Hashem Abouwafia and Marcus Chambers

International Review of Financial Analysis, 2015, vol. 37, issue C, 14-28

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 is left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflects 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.

Keywords: SVAR; Monetary policy; Asset prices; Emerging financial market (search for similar items in EconPapers)
JEL-codes: C32 E52 G18 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521914001458
Full text for ScienceDirect subscribers only

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:eee:finana:v:37:y:2015:i:c:p:14-28

DOI: 10.1016/j.irfa.2014.11.001

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().

 
Page updated 2021-06-19
Handle: RePEc:eee:finana:v:37:y:2015:i:c:p:14-28