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LES déterminants du taux de change au Maroc : Une étude empirique
[THE Exchange Rate Determinants in Morocco: An Empirical Investigation]

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  • El Bouhadi, A.
  • Elkhider, Abdelkader
  • Kchirid, El Mustapha
  • Idriss, El Abbassi

Abstract

One of the most important instruments of economic policy of the opened countries is the exchange rate. It is considered both a mean of monetary regulation and a tool of outside competitiveness. Morocco plans to adopt the floating exchange rate regime, in the end of 2009. Indeed, the question which arises today is to know what type of floating exchange rate regime will be applied. Under the economic, technical and institutional factors, we ask if Morocco is ready and able to adopt this regime. In the light of this report, this paper will deal with the impact of the exchange rate policy on the real economy in Morocco through an empirical model called « The Behavioural Equilibrium Exchange Rate » supported by Clark and MacDonald (1997). Firstly, our investigation deals with the efficiency of exchange rate policy adopted by Morocco, secondly, it deals with the capacity of Dirham to resist to the shocks caused by the misalignments and finely, with the Moroccan monetary authorities’ capacity to manage the existing exchange regime. Under using the cointegration method, the error correction model and the analysis of the shocks by using the method of the decomposition of variance, our results confirm that the dynamics of the exchange rate in Morocco is determined by the variables such as the terms of trade, the foreign assets and the foreign debt. Similarly, in terms of short-term fluctuations in the exchange rate and in the analysis of the shocks, the supply and demand dynamics the dirham seems determining.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 24115.

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Date of creation: 17 Nov 2008
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Handle: RePEc:pra:mprapa:24115

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Related research

Keywords: Exchange Rate Policy; Exchange Rate regime; efficiency; shocks and misalignments; Cointegration Tests; Stability; Dirham.;

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References

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  1. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
  2. Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
  3. Richard Baldwin & Paul R. Krugman, 1986. "Persistent Trade Effects of Large Exchage Rate Shocks," NBER Working Papers 2017, National Bureau of Economic Research, Inc.
  4. Jamal Bouoiyour & Velayoudom Marimoutou & Serge Rey, 2004. "Taux de change reel d'equilibre et politique de change au Maroc : une approche non parametrique," Economie Internationale, CEPII research center, issue 97, pages 81-104.
  5. Peter B. Clark & Ronald MacDonald, 2000. "Filtering the Beer," IMF Working Papers 00/144, International Monetary Fund.
  6. Peter B. Clark & Steven A. Symansky & Tamim Bayoumi & Mark P. Taylor, 1994. "Robustness of Equilibrium Exchange Rate Calculations to Alternative Assumptions and Methodologies," IMF Working Papers 94/17, International Monetary Fund.
  7. Akaike, Hirotugu, 1981. "Likelihood of a model and information criteria," Journal of Econometrics, Elsevier, vol. 16(1), pages 3-14, May.
  8. Antoine Bouveret & Henri Sterdyniak, 2005. "Les modèles de taux de change. Équilibre de long terme, dynamique et hystérèse," Revue de l'OFCE, Presses de Sciences-Po, vol. 93(2), pages 243-286.
  9. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  10. Stein, Jerome L. & Allen, Polly Reynolds, 1998. "Fundamental Determinants of Exchange Rates," OUP Catalogue, Oxford University Press, number 9780198293064, September.
  11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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