How Do The Oil Prices Affect The Macroeconomic Fundamentals, Monetary Policy and Stock Market? : The Case of The MENA Countries
Journal Title: IOSR Journal of Economics and Finance (IOSR-JEF) - Year 2018, Vol 9, Issue 4
Abstract
The main objective of this study is to investigate the impact of oil prices on macroeconomic fundamentals, monetary policy and stock market for eight oil-exporting and non-oil exports countries in the Middle East and North African region, namely Algeria, Egypt, Iran, Kuwait, Morocco, Saudi Arabia, Tunisia and Turkey. Using quarterly data for the period 1994Q4-2015Q2, with a Panel-ARDL, we may conclude that there are short run dynamic cross-section relationships between first, oil prices and macroeconomic variables such as growth rate and consumer price index, second, oil prices and money market rate and third, market capitalization and oil prices. In the long run, dependent variables such as consumer price index and market stock exhibit a cointegration relationship with oil prices. However, no cointegration relationships can be established among oil price variations, monetary policy and growth rate. In this context, we apply a multivariate VAR model to examine responses of all variables to oil price shocks. We find a relatively 100% elastic response of economic growth in oil-exporting country except for Kuwait and conversely, oil-importing economics, it appears reasonably stable close to zero of GDP response to oil prices. Similarly, same results can be captured of market response estimated an each oil-importing countries and oilexporting countries to oil price, which is considered a negatively sign during the first period in these countries causes by financial crisis contagion. The next macroeconomic variable, CPI seems positive response to oil .In addition, oil prices appear to have a negligible response on money market rates in the Middle East and North Africa except for turkey and Egypt
Authors and Affiliations
Ahmed Smahi, Kamel Si Mohamed
Keywords
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