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A DSGE model for macroprudential policy in Morocco

Author

Listed:
  • Omar Chafik

    (Bank Al-Maghrib, Département de la Recherche)

  • Mohammed Mikou

    (Bank Al-Maghrib, Département de la Recherche)

  • Yassine Slaoui

    (Bank Al-Maghrib, Département de la Recherche)

  • Tomas Motl

    (Bank Al-Maghrib, Département de la Recherche)

Abstract

This working paper presents a DSGE model for macroprudential analysis in Morocco. The model has been calibrated to match stylized facts of the Moroccan financial sector and can be used for macroprudential policy analysis, scenario building, or stress-testing. The model provides a top-down perspective on the financial sector stability, complementing the more traditional financial supervision tools currently in use at Bank Al-Maghrib. The paper describes the model structure and highlights its features that make it suitable for the analysis of macroprudential issues– strong role of nonlinearities, endogenous macro-financial feedback loops, and explicit description of the aggregate bank balance sheet. The paper presents three simulations to illustrate key transmission mechanisms: (i) Macroeconomic impact of an increase in equity capital; (ii) The role of capital flows sensitivity to capital buffers building requirement and (iii) The Impact of the COVID-19 crisis on the banking sector.

Suggested Citation

  • Omar Chafik & Mohammed Mikou & Yassine Slaoui & Tomas Motl, 2022. "A DSGE model for macroprudential policy in Morocco," Document de travail 2022-3, Bank Al-Maghrib, Département de la Recherche.
    • Handle: RePEc:ris:bkamdt:2022_003
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    References listed on IDEAS

    as
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    JEL classification:

    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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