This study focuses on Egypt’s recent experience with exchange rate policies, examining the existence of spillover effects of exchange rate variations on stock prices across two different de facto regimes and whether these effects, if any, are asymmetric.,The empirical analysis is carried out using a nonlinear autoregressive distributed lag modeling framework, which permits testing for the presence of short- and long-run asymmetries. Relevant local and global factors are also included in the analysis as control variables. The authors divide the entire sample into a soft peg period and a free float one.,Over the soft peg regime period, both positive and negative changes in EGP/USD exchange rates seem to have a significant impact on stock returns, whether in the short or long run. Short-term asymmetric effects vanish in the free float period, while long-term asymmetries continue to exist. By and large, the authors find that currency depreciation tends to exercise a stronger influence on stock returns than does currency appreciation.,The results offer important insights for investors, regulators and policymakers. With the domestic currency depreciation having a negative impact on stock prices, investors should contemplate implementing appropriate currency hedging strategies to abate depreciation risks and, hence, preserve their expected rate of return on the Egyptian pound-denominated investments. In the current post-flotation era, the government could pursue a flexible inflation targeting monetary policy framework, with a view to both lowering the soaring inflation toward an announced target rate and stabilizing economic growth. The Central Bank of Egypt (CBE) could adopt indirect monetary policy instruments to secure tightened liquidity conditions. Besides, the CBE could raise policy rates to incentivize people to keep their money in local currency-denominated instruments, instead of dollarizing their savings, thereby relieving banks of foreign currency demand pressures. Nevertheless, while being beneficial to the country’s real economy on several aspects, such contractionary monetary measures may temporarily impinge on stock market performance. Accordingly, policymakers should consider precautionary measures that reduce the potential for price distortions and unnecessary volatility in the stock market.,To the best of the authors’ knowledge, the current study represents the first attempt to explore the potential impact of exchange rate changes under different regimes on Egypt’s stock market, thus contributing to the relevant research in this area.

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汇率变动对股票收益的不对称影响：两种实际制度的证据

这项研究的重点是埃及最近在汇率政策方面的经验，考察了汇率变化对两种不同实际制度中股票价格的溢出效应的存在以及这些效应（如果有）是否不对称。非线性自回归分布式滞后建模框架，可以测试短期和长期不对称性的存在。相关的局部和全局因素也作为控制变量包含在分析中。作者将整个样本分为一个软挂钩时期和一个自由浮动时期。在软挂钩制度时期，EGP / USD汇率的正反变化似乎都对股票收益产生重大影响，无论是短期还是短期。或长远来看。在自由浮动时期，短期的非对称效应消失了，而长期的不对称继续存在。总的来说，作者发现货币贬值往往比货币升值对股票收益产生更大的影响。结果为投资者，监管者和政策制定者提供了重要的见识。由于本币贬值对股票价格产生负面影响，投资者应考虑实施适当的货币对冲策略，以减少贬值风险，从而保持埃及镑计价投资的预期收益率。在当前的浮选后时代，政府可以追求针对货币政策框架的灵活通货膨胀，以期将飙升的通货膨胀率降低至已宣布的目标利率，并稳定经济增长。埃及中央银行（CBE）可以采用间接货币政策工具来确保紧缩的流动性条件。此外，CBE可能会提高政策利率，以激励人们将钱存入以当地货币计价的工具中，而不是将其储蓄美元化，从而减轻银行对外汇需求的压力。但是，尽管这种收缩性货币措施在多个方面都有利于该国的实体经济，但可能会暂时影响股票市场的表现。因此，决策者应考虑采取预防措施，以减少股票价格波动和不必要的波动的可能性。据作者所知，