37 research outputs found
The relationship between money and prices in the maghreb countries: a cointegration analysis
Inflation has been the major global economic problem for most economies throughout the world over the last three decades. It affects individuals, businesses and governments. Many competing hypotheses have been advanced in the literature to explain its causes and give the appropriate remedial policies. One of these hypotheses is central to the quantity theory of money. According to this hypothesis, inflation results solely from a maintained expansion of the money stock at rates in excess of increases in the amount of money demanded in the economy. The paper examines the money-price relationship in the Three Maghreb countries (namely Algeria, Morocco and Tunisia) using Granger causality test. The results do not tend to support the quantity theoristâs view that money and prices have a long-run relationship, i.e., they do not tend to drift apart in the long run. However, as suggested by Granger (1986) money and prices could still cointegrate if other variables, which may have influenced prices, were included in the cointegration regressions. Second, the finding of a unidirectional causation from money to prices in the case of Morocco and Tunisia is in line with the monetaristâs view that money precedes and causes inflation. In fact, this finding supports Darratâs (1986) finding that money causes inflation in Morocco and Tunisia. Thus the monetary authorities in these two countries can consider control of the money supply (M1) or (M2) to influence and control inflation. As suggested by monetarists, this can be best achieved by maintaining a steady rate of growth of the money supply, roughly corresponding to the long-run growth of the real output. Our results also show the apparent absence of causality between money and prices in the case of Algeria which is not easy to explain. A possible explanation may be that the data for the Consumer Price Index (CPI) are not reliable. This may be true given that the prices, which are reported by the authorities, are always lower than those actually paid in the market place.Co integration â bootstrap- money â prices- Granger causality â inflation â Maghreb
The Purchasing Power Parity in The Maghreb Countries : A Nonlinear Perspective
The main objective of this paper is to test the validity of the purchasing power parity in the Maghreb countries (namely, Algeria, Morocco and Tunisia). We apply the threshold autoregressive non-linear model (TAR) proposed by Caner and Hansen (2001). First, a review of literature on PPP is presented, analysing its empirical validity and the econometric techniques that have been applied. After that, and investigating for the joint hypothesis of nonlinearity and non-stationarity in the exchange rate behaviour, the TAR model is presented and used for the PPP in the Maghreb countries. The results indicate that the RER shows nonlinear behaviour. Moreover, The Moroccan Tunisian (DH/DT) bilateral exchange rate is found to be highly persistent and follows a random walk, whereas the two others(Algerian Moroccan and Algerian Tunisian bilateral real exchange rates) are characterised by partial unit roots. This implies that PPP holds in one threshold regime but not in the other.Purchasing Power Parity (PPP) - Real Exchange Rate (RER) Threshold Autoregressive Model (TAR) - Non-linearity- Maghreb countries
Stabilization fund and fiscal policy : Evidence from Algeria
The aim of this paper is to examine if the presence of stabilization funds helps Algeria âas an oil rich economy- to stabilize their expenditures and address the pro-cyclical behaviour of fiscal policy, using Autoregressive Distributed Lag (ARDL) model for the period 1984-2016. Alike other oil countries, government spending in Algeria is considered to be strongly pro-cyclical .The results show that the establishment of stabilization fund in Algeria has not contributed to reduce the government spending pro-cyclicality. This is due to the absence of a rule that limits the withdrawals from the fund to finance budget deficit.
Keywords: Stabilization Fund, pro-cyclicality, government expenditure, Institutional Quality, ARDL bounds test approach, Algeria.
French Title: Les fonds de stabilisation et la politique budgetaire: Cas de lâAlgerie
L'objectif de cet article est d'examiner si la prĂ©sence de fonds de stabilisation aide l'AlgĂ©rie - en tant qu'Ă©conomie riche en pĂ©trole - Ă stabiliser ses dĂ©penses et Ă reduire le comportement procyclique de la politique budgĂ©taire. Un modĂšle autorĂ©gressif Ă retards Ă©chelonnĂ©s ARDL est utilisĂ© durant la pĂ©riode 1984-2016.Les rĂ©sultats montrent que la crĂ©ation d'un fond de stabilisation en AlgĂ©rie n'a pas contribuĂ© Ă rĂ©duire la procyclicalitĂ© des dĂ©penses publiques. Cela s'explique en partie par l'absence de rĂšgle limitant les retraits du fonds pour financer Le budget de l'Ătat.
Mots Clés : Fonds de stabilization, procyclicalité, modÚle ARDL, L'environnement institutionnel, Algerie
Oil rents and institutional quality: empirical evidence from Algeria
This paper examines the interaction between natural resource abundance and institutional quality in Algeria, using two measures of institutional quality (corruption and democratic accountability), and a measures for resource endowment (oil rents as a percentage of GDP). Our results indicate that an increase in oil rents significantly increase corruption in Algeria, while the interaction effect between oil rents and democratic accountability is positive and statistically significant, which means that enhancing democratic institutions can reduce corruption. It is also revealed that the manufactures exports significantly decline in the aftermath of oil rents shock, a pattern consistent with the Dutch Disease phenomenon. On the one hand, these findings confirms that Algeriaâs institutional framework demonstrates a high degree of perceived weakness, and on the other hand, enhancing these institutional environment would reduce corruption, and increase the impact of resource abundance on economic development
Money and prices in the Maghreb countries: cointegration and causality analyses
Inflation has been the major global economic problem for most economies throughout the world over the last three decades. It affects individuals, businesses and governments. Many competing hypotheses have been advanced in the literature to explain its causes and give the appropriate remedial policies. One of these hypotheses is central to the quantity theory of money. According to this hypothesis, inflation results solely from a maintained expansion of the money stock at rates in excess of increases in the amount of money demanded in the economy.
The paper examines the money-price relationship in the Three Maghreb countries (namely Algeria, Morocco and Tunisia) using Granger causality test. The results do not tend to support the quantity theoristâs view that money and prices have a long-run relationship, i.e., they do not tend to drift apart in the long run. However, as suggested by Granger (1986) money and prices could still cointegrate if other variables, which may have influenced prices, were included in the cointegration regressions. Second, the finding of a unidirectional causation from money to prices in the case of Morocco and Tunisia is in line with the monetaristâs view that money precedes and causes inflation. In fact, this finding supports Darratâs (1986) finding that money causes inflation in Morocco and Tunisia. Thus the monetary authorities in these two countries can consider control of the money supply (M1) or (M2) to influence and control inflation. As suggested by monetarists, this can be best achieved by maintaining a steady rate of growth of the money supply, roughly corresponding to the long-run growth of the real output. Our results also show the apparent absence of causality between money and prices in the case of Algeria which is not easy to explain. A possible explanation may be that the data for the Consumer Price Index (CPI) are not reliable. This may be true given that the prices, which are reported by the authorities, are always lower than those actually paid in the market place
The Purchasing Power Parity in The Maghreb Countries : A Nonlinear Perspective
The main objective of this paper is to test the validity of the purchasing power parity in the Maghreb countries (namely, Algeria, Morocco and Tunisia). We apply the threshold autoregressive non-linear model (TAR) proposed by Caner and Hansen (2001). First, a review of literature
on PPP is presented, analysing its empirical validity and the econometric techniques that have been applied. After that, and investigating for the joint hypothesis of nonlinearity and non-stationarity in the exchange
rate behaviour, the TAR model is presented and used for the PPP in the Maghreb countries. The results indicate that the RER shows nonlinear behaviour.
Moreover, The Moroccan Tunisian (DH/DT) bilateral exchange
rate is found to be highly persistent and follows a random walk, whereas the two others(Algerian Moroccan and Algerian Tunisian bilateral real exchange rates) are characterised by partial unit roots. This implies that PPP holds in one threshold regime but not in the other
Portfolio Selection Using Genetic Algorithm
The selection of optimal portfolios is the central problem of financial investment
decisions. Mathematically speaking, portfolio selection refers to the formulation
of an objective function that determines the weights of the portfolio invested in
each asset as to maximize return and minimize risk. This paper applies the method
of genetic algorithm (GA) to obtain an optimal portfolio selection. However, the
GA parameters are of great importance in the procedure of convergence of this
algorithm towards the optimal solution such as crossover. While, a five stock
portfolio example is used in this paper to illustrate the applicability and efficiency
of genetic algorithm method, GA method can also be used however for a larger
number of portfolio compositions. The results obtained confirm previous research
studies about the validity and efficiency of genetic algorithm in selecting optimal
portfolios