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Cycles Réel et Financier au Maroc : Une Analyse par les Wavelets

Author

Listed:
  • Slaoui, Yassine

    (Bank Al-Maghrib, Département de la Recherche)

Abstract

Ce travail propose d’analyser les propriétés du cycle financier au Maroc ainsi que ses interdépendances avec le cycle réel. Nous utilisons la méthode Wavelet (Crowley (2007), Aguiar-Conraria et Soares (2011)) afin d’estimer la relation entre ces deux cycles à différents niveaux de fréquence, ainsi que l’évolution de cette relation au cours du temps. Notre analyse suggère que le cycle financier, mesuré à partir du crédit bancaire, est plus long que le cycle réel, estimé à partir du PIB. De manière générale, les mouvements du PIB précèdent ceux du crédit bancaire. Le cycle financier manifeste par ailleurs des interactions fortes, mais à caractère épisodique, avec le cycle réel.

Suggested Citation

  • Slaoui, Yassine, 2021. "Cycles Réel et Financier au Maroc : Une Analyse par les Wavelets," Document de travail 2021-2, Bank Al-Maghrib, Département de la Recherche.
    • Handle: RePEc:ris:bkamdt:2021_002
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    More about this item

    Keywords

    Wavelets; Cyclefinancier; politiquemacroprudentielle; créditbancaire;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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