Adel Boughrara

On the Linkage between Monetary Policy and MENA Stock Markets

Using a sample of eight MENA region countries this study tries to understand whether there is an interaction between asset markets and monetary policy. The nature of the relationship between asset price movements and monetary policy is currently a hotly debated topic in macroeconomics. Relatively little empirical evidence is available that estimates the relationship between asset price movements and monetary policy measures. From a comparative perspective, promising results reflect a significant effect of an appropriate monetary policy on stock market development especially in Bahrain, Egypt, Morocco, Saudi Arabia and Tunisia using a VAR methodology. On the other hand, the responsiveness of stock markets differs across these MENA countries. In some countries stock market return depicts an upward tendency while in other countries it declines or do react at all.

Is There A Bank Lending Channel of Monetary Policy in Selected MENA Countries? A Comparative Analysis

This paper investigates whether or not there are differential effects of monetary policy across bank characteristics in some selected MENA countries namely Egypt, Jordan, Morocco, and Tunisia, to test for the presence of the bank lending channel (BLC). It uses a panel of micro bank balance sheet data from 1989 to 2007 to estimate the response of bank lending to changes in the monetary policy stance. The assumptions that the effect of a change in the monetary policy stance on a bank’s lending activity depends on its capital, size, and on its liquidity base are tested. It has been found that the BLC is operative in almost all the countries. More specifically, the effects of bank characteristics in shaping the banks reaction to changes in the monetary policy are not uniform through the four countries.

The relationship between financial liberalization and stock market volatility: the mediating role of financial crises

This paper aims at comparing the effects of financial liberalization on emerging stock markets’ volatility at normal times to the ones in periods of financial crises. To this purpose, a treatment effects model for 13 emerging economies is estimated over January 1986 to December 2008. Three types of financial crises are considered, i.e. banking, currency and twin crises. It has been found that financial liberalization does not lead to excessive volatility in emerging markets and that volatility decreases gradually along with financial liberalization effect on the probability of crises. Moreover, volatility reduction has been found to depend necessarily on several internal characteristics.

Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes

This article aims to determine the impact of financial liberalization on the informational efficiency in emerging stock markets. For this purpose, we estimate a time-varying parameter model combined with structural change technique for 13 emerging economies from January 1986 to December 2008. Empirical results show a greater efficiency in recent years. They also show that the structural breaks detected in the emerging market predictability indices coincide with the official liberalization dates, and with their alternative events. These findings corroborate those of the related literature regarding how emerging markets react to the adoption of the financial liberalization process.

Monetary Transmission Mechanisms: The Credit versus the Interest Rate Channel

A critical element of the monetary policy process is knowledge of the quantitative effects of policy actions. In recent years, much attention in the literature devoted to developed countries has been given to the role of credit markets, especially the role of banks (Kashyap et al., 1993; Kashyap and Stein, 1994). Moreover, the theoretical literature has been developed on the basis of recent developments in financial contracts under asymmetrical information, and empirical research has increasingly included financial variables in the analysis of the effectiveness of monetary policy, especially bank lending.

Monetary Policy and Asset Pricing in MENA

The linkage between monetary policy decisions and stock market performance is an important topic. Having reliable estimates of the reaction of asset prices to the policy instrument helps understanding and assessing the stock market channel for monetary policy transmission. The availability of such estimates helps to formulate effective policy decisions. However, relatively little empirical evidence is available on this issue, especially in developing and emerging countries. This paper attempts to fill this gap by analyzing the interaction between monetary policy and asset markets in seven MENA countries by making use of the SVAR methodology. The countries considered in this study are Egypt, Jordan, Morocco, Oman, Saudi Arabia, Tunisia, and Turkey. It has been found that the reactions of monetary policies to stock market price movements are far from homogenous across countries. The paper attempts to put forward some explanations.