IMPACT DES VARIATIONS DU TAUX DE CHANGE REEL SUR L'ECONOMIE MAROCAINE: UNE APPROCHE SVAR A DES RESTRICTIONS DE SIGNES

IMPACT OF REAL EXCHANGE RATE VARIATIONS ON THE MOROCCAN ECONOMY: A SVAR APPROACH TO SIGN RESTRICTIONS

Asmae Azzouzi () and Ahmed Bousselhamia

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this paper is to analyze the dynamic response of a small subset of variables to exchange rate shocks by using a new method based on a set of theory-consistent sign restrictions for the purpose of identifying shocks over time (1995Q1–2019Q1) in the Moroccan economy. It is important to note that the current account presents the so-called “J-curve” phenomenon. Additionally, Morocco entered into a period of deeper and longer recession and higher inflation following the dirham’s depreciation. Following a real depreciation, the output has little effect on improving the current account balance. Our results suggest that the monetary authorities reacted immediately to exchange rate shocks by raising their interest rates to prevent the economy from falling into deflation.

Keywords: Contractionary; Exchange rate shocks; Vector autoregression; Sign restrictions. (search for similar items in EconPapers)
JEL-codes: E23 E27 E3 E30 E5 E50 F3 F4 F41 (search for similar items in EconPapers)
Date: 2019-12-29
New Economics Papers: this item is included in nep-ara and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:110397

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