The Impact of Exchange Rate Policy on Remittances in Morocco: A Threshold VAR Analysis

Farid Makhlouf

No 2102, Working Papers from Groupe ESC Pau, Research Department

Abstract: The aim of this paper is to study the effect of nominal exchange rate movements (MAD to EUR) on remittances in the case of Morocco. It analyses monthly data from 2005 to 2014 using a Threshold Vector Auto Regression (TVAR) model to document the impact of exchange rate policy on remittances to Morocco. The results indicate that there is one best unique threshold at Euro/Moroccan Dirham= 11.2048: under the threshold, the effect of nominal exchange rate appreciation on remittances is positive, and above the threshold the effect is negative. These empirical results provide significant implications for the Central Bank of Morocco.

Keywords: Switch regime; TVAR; Remittances; Exchange rate; Morocco (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-12, Revised 2014-12
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Citations: View citations in EconPapers (1)

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http://www.esc-pau.fr/documents/cahier_recherche21_escpau.pdf First version, 2014 (application/pdf)

Related works:
Journal Article: The impact of exchange rate policy on remittances in Morocco: A Threshold VAR analysis (2014)
Working Paper: The impact exchange rate policy on remittances in Morocco: A Threshold VAR analysis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pau:wpaper:2102

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