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US Monetary Policy Surprises and Foreign Interest Rates: Evidence from a Set of MENA Countries

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  • Berument Hakan

    (Bilkent University)

  • Ceylan Nildag Basak

    (Atilim University)

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.

Suggested Citation

  • Berument Hakan & Ceylan Nildag Basak, 2008. "US Monetary Policy Surprises and Foreign Interest Rates: Evidence from a Set of MENA Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 117-133, April.
    • Handle: RePEc:bpj:rmeecf:v:4:y:2008:i:2:n:5
    DOI: 10.2202/1475-3693.1065
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    Cited by:

    1. Bedri Kamil Onur Tas, 2010. "Determinants of Time-Varying Sensitivity of MENA Countries to Global Shocks: A State Space Approach," Working Papers 530, Economic Research Forum, revised 06 Jan 2010.

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