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

Abouwafia, Hashem E and Chambers, Marcus J (2015) 'Monetary policy, exchange rates and stock prices in the Middle East region.' International Review of Financial Analysis, 37. pp. 14-28. ISSN 1057-5219

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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.

Item Type: Article
Uncontrolled Keywords: SVAR; Monetary policy; Asset prices; Emerging financial market
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Economics, Department of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 08 Dec 2014 15:49
Last Modified: 15 Jan 2022 00:22
URI: http://repository.essex.ac.uk/id/eprint/12037

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