We study the impact of the announcements of “tapering” (exit from the unconventional monetary policies of the Federal Reserve) on a sample of 16 countries of the Middle East and Africa region. The events under study are the announcements of the Federal Open Market Committee in the context of meetings and minutes during the tapering period (2013/01–2015/04). We compare the impact on these countries with that on three emerging and advanced economies control groups. We find that the countries under study, despite a lower level of financial development, are also characterized by significant announcement effects. The dates of significant announcements are more similar to Western Europe than to the other emerging economies, which reflects major economic ties with Europe. Domestic inflation and FDI have the most significant direct and interaction effects. In particular, the direct effect of FDI is favorable, but their indirect effect is unfavorable, as in the literature on emerging countries where financial development frequently increases vulnerabilities to the impact of international monetary policy announcements. More generally, this result points to the macroeconomic issue of the absorptive capacity necessary to achieve the benefits of FDI (Durham, 2004).