US monetary policy surprises and foreign interest rates: evidence from a set of MENA countries

Date
2008
Advisor
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Source Title
Review of Middle East Economics and Finance
Print ISSN
1475-3685
Electronic ISSN
1475-3693
Publisher
De Gruyter
Volume
4
Issue
2
Pages
117 - 133
Language
English
Type
Article
Journal Title
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Volume Title
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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.

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Keywords
MENA countries, Federal funds rate, Monetary policy, VAR analysis
Citation
Published Version (Please cite this version)