Monetary policy,exchange rates and stock prices in the Middle East region |
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| Institution: | 1. Department of Accounting, Finance and Governance, University of Westminster, London, UK;2. Department of Economics, University of Essex, Essex, UK;1. University of Peloponnese, Department of Economics, School of Management and Economics, Tripolis Campus, 22100, Greece;2. Department of Economics and Regional Development, Panteion University, 136 Syngrou Avenue, GR17671 Athens, Greece;3. Bournemouth University, Department of Accounting, Finance and Economics, Executive Business Centre, 89 Holdenhurst Road, BH8 8EB Bournemouth, UK;4. Surrey Energy Economics Centre (SEEC), Faculty of Economics Business and Law, University of Surrey, UK;1. Faculty of Economics and Girton College, University of Cambridge, UK;2. Department of Economics and USC Dornsife INET, University of Southern California, USA;3. Department of Statistics and Probability, University of Economics, Prague, Czech Republic;4. Trinity College, Cambridge, UK;1. Centre of Commerce and Management, RMIT University (Vietnam Campus), 702 Nguyen Van Linh Blvd., District 7, HCMC, Vietnam;2. Division of Economics, Nanyang Technological University, 14 Nanyang Drive, Singapore 637332, Singapore |
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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. |
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