["The World Economy, EarlyView. ", "\nABSTRACT\nWe evaluate the financial effects of monetary policy over the transition from a fixed to a floating exchange rate regime in Egypt. Using high‐frequency identification, we estimate the impact of monetary policy announcements on financial markets. Currency devaluations lead to significant increases in stock market prices, while changes in the monetary policy interest rate significantly affect treasury yields. Short‐term yields respond significantly primarily to currency devaluations, whereas long‐term yields respond significantly to both the exchange rate and the monetary policy interest rate. These effects are mainly driven by the period when the exchange rate regime was closer to a floating system, which was also characterized by relative political and economic stability. These results highlight how exchange rate and interest rate adjustments can differentially affect financial variables during the exchange rate regime transition.\n"]