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

Author

Listed:
  • 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.

Suggested Citation

  • El Bouhadi, A. & Elkhider, Abdelkader & Kchirid, El Mustapha & Idriss, El Abbassi, 2008. "LES déterminants du taux de change au Maroc : Une étude empirique
    [THE Exchange Rate Determinants in Morocco: An Empirical Investigation]
    ," MPRA Paper 24115, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:24115
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    File URL: https://mpra.ub.uni-muenchen.de/24115/1/MPRA_paper_24115.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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 1057-1072, June.
    3. Richard Baldwin & Paul Krugman, 1989. "Persistent Trade Effects of Large Exchange Rate Shocks," The Quarterly Journal of Economics, Oxford University Press, vol. 104(4), pages 635-654.
    4. Akaike, Hirotugu, 1981. "Likelihood of a model and information criteria," Journal of Econometrics, Elsevier, vol. 16(1), pages 3-14, May.
    5. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    6. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
    7. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
    8. 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.
    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. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    11. 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.
    12. Stein, Jerome L. & Allen, Polly Reynolds, 1998. "Fundamental Determinants of Exchange Rates," OUP Catalogue, Oxford University Press, number 9780198293064.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

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

    JEL classification:

    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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