Monetary Policy and Asset Pricing in MENA

39 Pages Posted: 18 Feb 2010 Last revised: 9 Jul 2010

See all articles by Sami Ben Naceur

Sami Ben Naceur

International Monetary Fund (IMF)

Adel Boughrara

University of Sousse

Samir Ghazouani

Higher School of Statistics and Information Analysis (ESSAI)

Date Written: October 1, 2009


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.

Keywords: Monetary policy, Stock markets, MENA countries, SVAR methodology

JEL Classification: E44, E52, E58, G1

Suggested Citation

Ben Naceur, Sami and Boughrara, Adel and Ghazouani, Samir, Monetary Policy and Asset Pricing in MENA (October 1, 2009). Available at SSRN: or

Sami Ben Naceur (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Adel Boughrara

University of Sousse ( email )

rue Abdelaziz el Behi
Sousse, Sousse 4000

Samir Ghazouani

Higher School of Statistics and Information Analysis (ESSAI) ( email )

6, Rue des métiers
Charguia II, 2035
+216 70 839 440 (Phone)
+216 70 838 170 (Fax)

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