EconPapers    
Economics at your fingertips  
 

Sustainability of basket peg choices in the post-COVID-19 era: new evidence from Morocco & Tunisia

Hamza Bouhali, Ahmed Dahbani and Brahim Dinar

Macroeconomics and Finance in Emerging Market Economies, 2022, vol. 15, issue 1, 66-85

Abstract: This article aims to study the impact of peg structure on volatility behaviour and crisis vulnerability, considering the COVID-19 economic context. We adopt a comparative analysis of volatility behaviour using GARCH family models and the ICSS Algorithm for the cases of Morocco and Tunisia. Our main finding is that peg characteristics aren’t the unique parameters impacting volatility behaviour and the exposition to the crisis. Furthermore, we detect different variations in volatility parameters as a result of the contrasting economic contexts and COVID-19 economic fallouts. Finally, we present some interesting policy implications, and we suggest some leads for future research.

Date: 2022
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2020.1819846 (text/html)
Access to full text is restricted to subscribers.

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:taf:macfem:v:15:y:2022:i:1:p:66-85

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2020.1819846

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2022-03-04
Handle: RePEc:taf:macfem:v:15:y:2022:i:1:p:66-85