Impact des chocs de politique monétaire sur la croissance économique au Maroc: modélisation FECM

Bouchra Benyacoub () and Marouane Daoui ()
Additional contact information
Bouchra Benyacoub: USMBA - Université Sidi Mohamed Ben Abdellah
Marouane Daoui: USMBA - Université Sidi Mohamed Ben Abdellah

Post-Print from HAL

Abstract: By using a database of 117 quarterly series (from 1985: Q1 to 2018: Q4), we explore in this paper the advantages of combining the benefits of dynamic factor models (the inclusion of a large number of variables) and error correction models (the inclusion of along-run or cointegrating relationships) as the factor augmented error correction model (FECM). Indeed, the main objective is to examine the effects of monetary policy shocks on economic growth in Morocco using the FECM. In order to assess the informational contribution of non-stationarity in dynamic factor modeling, the results obtained by the FECM model are compared to those obtained by the factor augmented vector autoregression (FAVAR) model. The results suggest that the FECM, which exploits information from non-stationary variables, is an empirically important extension of the FAVAR for modeling monetary policy shocks.

Keywords: Monetary policy shocks; Economic growth; Dynamic factor model; FAVAR; FECM; Impulse responses; Morocco; Chocs de politique monétaire; Croissance économique; Modèle à facteurs dynamiques; Réponses impulsionnelles; Maroc (search for similar items in EconPapers)
Date: 2021-07-21
New Economics Papers: this item is included in nep-ara, nep-isf and nep-mac
Note: View the original document on HAL open archive server: https://hal.science/hal-03315795v1
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Finance et Finance Internationale, 2021, 1 (22)

Downloads: (external link)
https://hal.science/hal-03315795v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03315795

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().