Réactions du Marché d’Actions aux Chocs sur les Taux d’Intérêt de Court Terme,le Cas d’un Marché Emergent: la Bourse Régionale des Valeurs Mobilières (BRVM)

Abstract: Macroeconomics in general and interest rate policy in particular are believed, from a theoretical point of view, to act on stock market movements. This paper discusses this issue in the case of the West African stock market by studying the Regional Securities Exchange (la Bourse Régionale des Valeurs Mobilières (BRVM)) stock market reactions to interest rates innovations. Our results, based on VAR analysis, show that the BRVM stock market does not react immediately to short‐run interest rates’ innovations. Nevertheless, backed reactions occur in imminent periods: at the earliest in the second period and at the latest in the sixth period according to VAR models used. Long‐term effects of short‐term interest rates’ innovations on stock prices returns depend on models specified, on the kind of interest rate and on data frequency. Thus, the long‐term effect of central bank rent rates’ innovations is relatively more important than the one related to interbank rate's innovations. The previous situation of the market is, however, the main determinant of the change of stock prices. Our results show also that stock prices and short‐run interest rates have a similar reaction to both exchange rate and inflation rate's innovations.