Monetary Policy Shocks and Economic Growth in Morocco: A Factor-Augmented Vector Autoregression (FAVAR) Approach
Chocs de politique monétaire et croissance économique au Maroc: Une approche de type FAVAR (Factor-Augmented Vector Autoregression)
Marouane Daoui and
Bouchra Benyacoub ()
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Marouane Daoui: FSJES-Fès - Faculté des sciences Juridiques, Economiques et Sociales de Fès
Bouchra Benyacoub: FSJES-Fès - Faculté des Sciences Juridiques, Economiques et Sociales de Fès
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Abstract:
In response to the empirical anomalies relating to the use of VAR models in analysing the impact of monetary policy shocks, the Factor-Augmented VAR (FAVAR) models attempt to provide a practical solution. Moreover, these models, based on dynamic factor models (DFM), make it possible to summarize the information present in a large database into a small number of factors common to all the variables. In this paper, we analyse the effects of monetary policy shocks on economic growth using the FAVAR model on a large number of Moroccan macroeconomic time series (117 quarterly time series from 1985Q1 to 2018Q4). First, we present the econometric framework of the FAVAR model, then the data used and their necessary transformations. Next, we determine the number of factors before estimating the model. Then, we focus on the analysis of the impulse response functions of some indicators of economic growth in Morocco. The results of the analysis indicate that, the overall decline in GDP in response to monetary policy shocks suggests that they have a clearly negative impact on economic growth.
Keywords: Monetary policy shocks; Economic growth; Dynamic factor model; FAVAR; Morocco (search for similar items in EconPapers)
Date: 2021-03-04
New Economics Papers: this item is included in nep-ara, nep-cba, nep-cwa, nep-fdg, nep-isf, nep-mac and nep-mon
Note: View the original document on HAL open archive server: https://hal.science/hal-03277727
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Published in IOSR Journal of Economics and Finance, 2021, ⟨10.9790/5933-1202010111⟩
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03277727
DOI: 10.9790/5933-1202010111
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