التكامل الاقتصادي
Volume 11, Numéro 5, Pages 451-462
2023-09-30
The Reaction Of The Asset Tunisian Market To Monetary Policy Shocks A Sectoral Analysis
Authors : Ben Saad Zorgati Mouna .
Abstract
The primary aim of this study is to investigate the interplay between monetary policy and financial markets. To achieve this, a Vector Error Correction Model (VECM) was employed to scrutinize data spanning from January 2011 to May 2023. The outcomes reveal a consistent pattern in the response of specific sectoral indices to changes in monetary policy. This response is marked by a lack of immediate impact in the short term and a discernible effect in the long term. Notably, it is observed that in the majority of instances, the Monetary Market Authority (MMA) exhibits a positive influence, while the KIR (an index or indicator) registers a negative impact. As for other sectoral indices, the influence of monetary policy exhibits cyclical behavior, alternating between being procyclical at times and anticyclical at others. This dynamic contributes to an overall neutral effect on the Tunisian stock market.
Keywords
Asset market; monetary policy shocks; VECM, VAR, impulse response function
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