DYNAMIC INTERRELATION BETWEEN STOCK MARKET INDEX, EXCHANGE RATE, T-BILLS AND POLICY RATE: THE CASE OF EGYPT 2010-2020

Received: 18th March 2024 Revised: 21st March 2024, 30th April 2024, 3rd May 2024, 14th May 2024 Accepted: 29th March 2024

Authors

  • Yara Ayman Elkahky Economics Lecturer at University of Hertfordshire Business School, New Capital, Egypt Former Economist at Banque Misr, Cairo, Egypt PHD Candidate at German University in Cairo, New Cairo, Egypt Master of Science Holder in International Finance from Berlin School of economics & law
  • Christian Richter Dean of Faculty of Economics & Business at Berlin School of Business and Innovation, Berlin, Germany Dean of Business School, & Professor of Economics at University of Hertfordshire Business School in Egypt by GAF, Cairo, Egypt
  • Dina M. Yousri Assistant professor of Economics & Statistics at German University in Cairo, New Cairo, Egypt Assistant professor of Statistics at German International University, New Capital, Egypt Assistant professor of Statistics at German International University, Berlin, Germany

Keywords:

Stock Market Performance, Lending Rate, Treasury Bills Yield Rate, , Exchange Rate, Egypt

Abstract

Numerous studies have recommended that macroeconomic variables have an impact on the stock exchange performance employing the yield rate of Treasury bills, lending rate as an indicator for the monetary policy, and debt market related capital inflows. The purpose of this study is to investigate, using regression, cointegration, and VECM models the impact of policy rate, Treasury bills yields, and exchange rate on the performance of the Egyptian stock exchange during the period from 2010 to 2020. The outcomes disclosed the absence of short-run impact of the noted indicators on the stock market. However, just in the long run, before the 2016 currency flotation there was a stable equilibrium in the long run involving the index of stock market and each of yield on government’s treasury bills and rate of lending?

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Published

2024-06-19

Issue

Vol. 7 (2024): Emerging Trends in Social Science

Section

Articles