Investigating the transmission mechanism of monetary policy in Egypt

Ahmed, Hossam Eldin Mohammed Abdelkader (2013). Investigating the transmission mechanism of monetary policy in Egypt. University of Birmingham. Ph.D.

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Abstract

This thesis investigates the transmission mechanism of monetary policy in Egypt in the last four decades. To achieve this, five empirical studies are included in this thesis. The consumer‟s expenditure is estimated in Chapter 3, while the investment expenditure under uncertainty is estimated in Chapters 4. Furthermore, the results of these two chapters paved the way to the next chapters, the interest rate channel, chapter 5, and the bank lending channel, Chapter 6. Moreover, Chapter 7 devoted to estimate the exchange rate channel under the regime shift. However, Chapter 2 provides all the required discussion about the economic policies and developments in the Egyptian economy for the purpose of this thesis.

The time series econometrics is used in all of these chapters. The unit root tests, the Engle-Ganger two-step cointegration approach, the bounds tests, and GARCH models are used in Chapters 3 and 4. However, unit root tests, the VAR models, Granger-causality, the impulse response function, variance decomposition, the Johansen‟s cointegration, and the VECM are used in Chapters 5, 6, and 7. The results of these chapters assert the existence of the channels of monetary transmission mechanism in Egypt between 1975 and 2010.

Type of Work:

Thesis (Doctorates > Ph.D.)

Award Type:

Doctorates > Ph.D.

Supervisor(s):