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

Author

Listed:
  • Bouchra Benyacoub

    (USMBA - Université Sidi Mohamed Ben Abdellah)

  • Marouane Daoui

    (USMBA - Université Sidi Mohamed Ben Abdellah)

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.

Suggested Citation

  • Bouchra Benyacoub & Marouane Daoui, 2021. "Impact des chocs de politique monétaire sur la croissance économique au Maroc : modélisation FECM," Post-Print hal-03315795, HAL.
    • Handle: RePEc:hal:journl:hal-03315795
    Note: View the original document on HAL open archive server: https://hal.science/hal-03315795
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    Cited by:

    1. Daoui Marouane, 2023. "Macroeconomic Forecasting using Dynamic Factor Models: The Case of Morocco," Papers 2302.14180, arXiv.org, revised May 2023.
    2. Marouane Daoui, 2023. "Monetary Policy and Economic Growth in Developing Countries: A Literature Review," Papers 2303.03162, arXiv.org.

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