Impact of Fed Tapering Announcements on North African Equity Markets

Abstract

We propose an empirical evaluation of the transmission of the Federal reserve policy announcements to the equity price indices of three countries: Egypt, Morocco, Tunisia. The results of panel data tests allow us to highlight a significant negative impact of three of the 19 monetary policy events during the study period (01/01/2013-04/15/2015), generally associated with the speech coming after the FOMC’s meeting and not the minutes release. Moreover, the interaction of domestic fundamentals with monetary policy dummies shows that domestic fundamentals with favorable direct effects on equity markets could indirectly increase their vulnerability to announcement effects (negative interaction).