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on MENA - Middle East and North Africa |
| By: | Azzouzi, asmae; Bousselhamia, Ahmed |
| Abstract: | The purpose of this paper is to consider the impact of covid-19 uncertainty shocks on the Moroccan economy that focuses on two main dimensions: first, it provides estimates of the impact of uncertainty shocks in the different sectors of activity in Morocco; second, it allows us to estimate the uncertainty related to global time-varying shocks and to measure the impact of this uncertainty on a large number of variables while monitoring the effect of idiosyncratic uncertainty shocks. In order to measure macroeconomic uncertainty, we propose a dynamic factor augmented (FAVAR) model. Empirical results suggest that the impact of uncertainty shocks on the different sectors of activity is heterogeneous. We find that the most affected sectors are those that are dependent on external demand, due to the substantial decline in demand for Morocco, plus the sanitary measures imposed...In addition, the Moroccan economy is struggling in posing and laying the foundations for economic recovery in the hotel and restaurant, mechanical engineering, electrical and metal industries, transportation, and textile industries. In addition, the shock of uncertainty has a lesser impact on the value added of education, health and social action next to financial and insurance activities. |
| Keywords: | Covid-19, FAVAR, Uncertainty shocks, Moroccan economy, Sectors of activity. |
| JEL: | E0 L6 L60 L7 L70 L80 L9 L90 O4 O41 |
| Date: | 2021–05–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110398&r= |
| By: | Azzouzi, asmae; Bousselhamia, Ahmed |
| 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. |
| JEL: | E23 E27 E3 E30 E5 E50 F3 F4 F41 |
| Date: | 2019–12–29 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110397&r= |