COMPARING THE IMPACT OF MONETARY POLICY ON STOCK MARKET VOLATILITY: THE CASE OF MOROCCO AND EMERGING ECONOMIES

Abstract

This paper examines the relationship between monetary policy and stock market volatility in Morocco and a selected group of emerging economies. By comparing the effects of key monetary policy instruments—such as interest rates and money supply—on financial market dynamics, the study highlights the differentiated responses of stock markets to monetary shocks in varying institutional and economic contexts.

Using monthly data from 2005 to 2023 and applying GARCH-family models and VAR-based impulse response analysis, the results reveal that Morocco’s stock market shows limited sensitivity to monetary policy, in contrast to more financially liberalized emerging markets. These findings underscore the need for improved financial infrastructure and deeper market integration to enhance the transmission of monetary signals and support macro-financial stability.