IDEAS home Printed from https://ideas.repec.org/p/uab/wprdea/wpdea2407.html
   My bibliography  Save this paper

Uncovering the Financial Effects of the Exchange Rate Regime Transition in Egypt

Author

Listed:
  • Karen Davtyan

    (Departament d'Economia Aplicada, Universitat Autònoma de Barcelona (UAB))

  • Omar Elkaraksy

    (Departament d'Economia Aplicada, Universitat Autònoma de Barcelona (UAB))

Abstract

We evaluate the financial effects of monetary policy over the transition period from a fixed to a floating exchange rate regime in Egypt. The baseline evaluation is implemented through an event study methodology (high frequency identification) by estimating the effects of monetary policy announcements on financial indicators. The results reveal that a currency devaluation leads to a significant increase in stock prices. A change in the monetary policy interest rate significantly affects treasury yields. It takes more time for treasury yields with longer maturities to reflect the effects of monetary policy announcements. The results are mainly driven by the period when the exchange rate regime was closer to a floating system. The results also highlight the importance of politically and economically stable environment for the efficient transmission of monetary policy.

Suggested Citation

  • Karen Davtyan & Omar Elkaraksy, 2024. "Uncovering the Financial Effects of the Exchange Rate Regime Transition in Egypt," Working Papers wpdea2407, Department of Applied Economics at Universitat Autonoma of Barcelona.
    • Handle: RePEc:uab:wprdea:wpdea2407
    as

    Download full text from publisher

    File URL: https://ecap.uab.cat/RePEc/doc/wpdea2407.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uab:wprdea:wpdea2407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dept. Economia Aplicada (email available below). General contact details of provider: https://edirc.repec.org/data/dauabes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.