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.

Recommended Citation

Berument, Hakan and 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: Vol. 4 : No. 2, Article 5.
Available at: http://www.bepress.com/rmeef/vol4/iss2/art5