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on MENA - Middle East and North Africa |
| By: | Burger, Nicholas; Grant, Audra; Kups, Sarah; Rana, Yashodhara; Wodon, Quentin |
| Abstract: | This study aims to be relevant for the MENA region as a whole, but it focuses on five countries - Algeria, Egypt, Morocco, Syria, and Yemen, and in many (but not all) cases on specific geographic areas within each of the five countries. After a brief introduction, this chapter outlines the reasons that led to the choice of the five focus countries. Next, to provide contextual background for the study, the chapter provides an introductory discussion of climate and migration patterns in each of the five countries, and of the policy and institutional context in which discussions on climate change take place. |
| Keywords: | Climate change, Migration, Adaptation, Middle East and North Africa |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56928&r=ara |
| By: | Pao-Yu Oei; Markus Siehlow |
| Abstract: | Political instability of several countries in the Middle East is overshadowing one of the biggest challenges of the upcoming century: Water - a natural resource that is easily taken for granted, but whose scarcity might lead to serious conflicts. This paper investigates an optimal Water Allocation of the Tigris and Euphrates Rivershed by introducing the WATER-Model. A series of scenarios are analyzed to examine the effects of different levels of cooperation for an optimal water allocation. Special emphasize is put on the effects of filling new Turkish reservoirs which can cause additional welfare losses if these actions are not done on a basin-wide coordinated basis. Modeling results show that Turkey is most efficient in its water usage. However, using the water for irrigation purposes in Turkey, instead of the Iraqi or Syrian domestic and industrial sector, decreases the overall welfare. Especially the Euphrates basin might thus encounter losses of up to 33% due to such strategic behaviour. The predicted water demand growth in the region is going to increase this water scarcity further. Minimum flow treaties between riparian countries, however, can help to increase the overall welfare and should therefore be fostered. |
| Keywords: | Integrated Water Resources Management, Euphrates Tigris rivershed, non linear modeling, transboundary water resources allocation |
| JEL: | C61 Q25 O53 D74 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp1381&r=ara |
| By: | Adoho, Franck; Wodon, Quentin |
| Abstract: | Migration is one of several strategies used by households to respond to changes in climate and environmental conditions as well as extreme weather events. Yet while there is a burgeoning literature on climate change and migration and other adaptation strategies worldwide, the evidence available for the MENA region remains limited, in part because of a lack of survey and other data. This chapter is based on new data collected in 2011 in Algeria, Egypt, Morocco, Syria, and Yemen in two climate affected areas per country. The chapter provides an analysis of the impact of changes in weather patterns and the environment (as perceived by households) on migration, both by members residing in the households (temporary migration) and former household members who have left (permanent migration). The results suggest that perceptions of negative changes in weather patterns and the environment are indeed associated with a higher likelihood of migrating temporarily or permanently. |
| Keywords: | Climate change, Migration, Middle East and North Africa |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56935&r=ara |
| By: | Adoho, Franck; Wodon, Quentin |
| Abstract: | What are the perceptions of households in the Middle East and North Africa Region regarding changes in the climate of the areas where they live? To what extent are households affected by extreme weather events such as droughts or floods? And who tends to suffer the most from such events when they occur? This chapter suggests answers to these questions on the basis of new household survey data collected in 2011 in Algeria, Egypt, Morocco, Syria, and Yemen. The household surveys were implemented in two climate affected areas in each country. Overall, households in these areas do perceive important changes in the climate, for example with droughts becoming more frequent. While many households declare being affected by extreme weather events, with resulting losses in income, crops, livestock, or fish catchment, this is especially the case of the poor who appear to suffer the most from extreme weather events. |
| Keywords: | Climate Change, Weather Shocks, Impact on households, Middle East and North Africa |
| JEL: | I31 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56931&r=ara |
| By: | Davide Luca; Andrés Rodríguez-Pose |
| Abstract: | One of the most important decisions that governments face is how to allocate the public resources necessary for development, given each countrys budget constraints. According to the literature on the links between wealth and institutional performance, highly kleptocratic countries are expected to show higher levels of politicisation of the public purse. The article tests the extent to which socioeconomic criteria (equity and efficiency) or electoral concerns determined the geographical distribution of public investment in the 81 provinces of Turkey between 2004 and 2012. Our results show that, although electoral concerns mattered for the allocation, socioeconomic measures remained the most relevant predictors of investment. Moreover, in contrast to official regional development policy principles, the Turkish state tended to favour areas with a higher level of development over those with greater ‘socioeconomic need’. Our results therefore challenge much of the distributive politics literature, which has overly emphasised the role of pork-barrel in public policy-making. At the same time, they underline the need of paying more attention to the political economy of regional development strategies. |
| Keywords: | Regional development policies, distributive politics, public investments, political geography, Turkey. |
| JEL: | H76 O12 O53 R12 R58 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:gov:wpaper:1402&r=ara |
| By: | Adoho, Franck; Wodon, Quentin |
| Abstract: | What are the coping mechanisms and adaptation strategies (apart from migration which is discussed in part III of the study) that households use in order to respond to changes in climate and environmental conditions? Are households forced to sell assets or take other emergency measures in cases of losses due to extreme weather events? Beyond short term emergency responses, are they taking measures to adapt to changing conditions? This paper is based on new household survey data collected in 2011 in Algeria, Egypt, Morocco, Syria, and Yemen, documents the coping and adaptation strategies of households as well as government and community responses to changes in weather patterns and the environment. Overall, the results suggest that coping and adaptation strategies used by households to deal with shocks are diverse, but still limited, as are the community and government responses that could help them. |
| Keywords: | Climate change, Weather Shocks, Coping, Adaptation, Middle East and North Africa |
| JEL: | I31 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56934&r=ara |
| By: | Wodon, Quentin; Burger, Nicholas; Grant, Audra; Liverani, Andrea |
| Abstract: | Climate change is a major source of concern in the Middle East and North Africa (MENA) region, and migration is often understood as one of several strategies used by households to respond to changes in climate and environmental conditions, including extreme weather events. Other coping and adaptation strategies include changing the household’s sources of livelihood, and selling assets or taking other emergency measures in cases of losses due to extreme weather events. Yet while there is a burgeoning literature on climate change and migration and other adaptation strategies worldwide, the evidence available for the MENA region remains limited, in part because of a lack of survey and other data. This chapter is based in large part on new data collected in 2011 in Algeria, Egypt, Morocco, Syria, and Yemen. Household surveys were implemented in two climate affected areas in each country. In addition, qualitative focus groups were also implemented in both urban and rural areas. Finally, complementary work was completed using existing data sources for Morocco and Yemen. The chapter provides a summary of some of the main findings from these various sources of data, focusing on household perceptions about climate change and extreme weather events, migration, other household coping and adaptation strategies, and government and community responses. Overall, households do perceive important change in the climate, and many have been affected by extreme weather events with resulting losses in income, crops, livestock, or fish catchment. The coping and adaptation strategies used by households to deal with shocks are diverse but limited, as are the community and government programs which could help households better cope with and adapt to climate change. In terms of migration, in the areas affected by climate change and weather shocks, the analysis suggests that climate factors may account for between one tenth and one fifth of the overall level of migration observed today, but this is likely to increase as climatic conditions continue to deteriorate. While migrants appreciate the opportunities that migration offer, their living conditions and ability to be well integrated in their areas of destination is far from being guaranteed. |
| Keywords: | Climate change, Migration, Adaptation, Middle East and North Africa |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56927&r=ara |
| By: | Rithuan, Syahidah Hanis Meor; Abdullah, Ahmad Monir; Masih, Abul Mansur M. |
| Abstract: | An understanding of how volatilities of and correlations between commodity returns and Islamic stock indices change over time including their directions (positive or negative) and size (stronger or weaker) is of crucial importance for both the domestic and international investors with a view to diversifying their portfolios for hedging against unforeseen risks. This paper is the first attempt to add value to the existing literature by empirically testing for the ‘time-varying’ and ‘scale dependent’ correlations between the selected Islamic stock indices of Gulf Cooperation Council (GCC) countries and selected commodities. Particularly, by incorporating scale dependence, it is able to identify unique portfolio diversification opportunities for different set of investors bearing different investment horizons or holding periods. In order to address the research objectives, we have applied the vector error-correction model and several recently introduced appropriate wavelet decomposition techniques such as the Maximum Overlap Discrete Wavelet Transform (MODWT) and Continuous Wavelet Transform (CWT). The data used in this paper are the daily data of three commodities (crude oil, gold and corn) prices and Islamic stock indices from 1 June 2007 until 28 February 2014. Our findings tend to suggest that there is a theoretical relationship between the selected Islamic stock indices and selected commodities (as evidenced in the cointegration tests) and that the Islamic stock indices of Saudi Arabia, Oman and crude oil price are leading the other Islamic stock indices and the commodities (as evidenced in the Vector Error-Correction models). Our analysis based on the application of the recent wavelet technique MODWT indicates mixed results in that in the short run, the crude oil price is leading the other Islamic indices but in the long run, it is the other way around. From the point of view of portfolio diversification benefits, our results tend to suggest that an investor will obtain diversification benefit if his/her investment horizon is below 128 days (as evidenced in the continuous wavelet transform analysis). This result is consistent with the cointegration test that indicates that the diversification benefits for crude oil and the other Islamic indices is minimised in the long run because the variables under review tend to move together toward the same direction. Our analysis based on the recent applications of the wavelet decompositions helps us unveil the portfolio diversification opportunities for the investors with heterogeneous investment horizons or holding stocks over different periods. |
| Keywords: | Commodity, Islamic Stock Index Returns (ISIR), MODWT, CWT, Diversification, Causality |
| JEL: | C22 C58 Q43 |
| Date: | 2014–06–29 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56989&r=ara |
| By: | Wodon, Quentin; Liverani, Andrea |
| Abstract: | Climate change and migration are major concerns in the MENA region, yet the empirical evidence on the impact of climate change and extreme weather events on migration remains limited. Information is broadly lacking on how households in vulnerable areas perceive changes in the climate, how they are affected by extreme weather events, whether they benefit from community and government programs to help them cope with and adapt to a changing climate, and how these conditions influence the decision of household members to migrate, either temporarily or permanently. This introductory chapter summarizes briefly the main results of the study which relied on existing data as well as focus groups and new household surveys collected in 2011 in Algeria, Egypt, Morocco, Syria, and Yemen. The results suggest that households do perceive important changes in the climate, and that many households are being affected by extreme weather events resulting in losses in income, crops, and livestock. The coping and adaptation strategies used by households to deal with weather shocks are diverse, but also limited, with most households not able to recover from the negative impact of weather shocks. The ability of community level responses and government programs to support households is also very limited. Finally, while climate change is not today the main driver of migration flows, it does appear to contribute to these flows, and worsening climatic conditions are likely to exacerbate future migration flows. |
| Keywords: | Clinate Change, Migration, Middle East and North Africa |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56926&r=ara |
| By: | Bouoiyour, Jamal; Miftah, Amal |
| Abstract: | In this paper, we analyze the relationship between remittances and educational attainment in Morocco. We investigate how recipient households in Morocco decide to send their children to school.. We use newly survey data on the Souss-Massa-Draa region. Based on probit and instrumental variables estimates to control for endogeneity of remittances, we find a positive effect of remittances on the investments in education, especially for boys. Furthermore, the results show that family and community characteristics such as the level of parental education, the number of children enrolled in the household and the ICDH have a significant impact on the ability of households to support their children's education. They also show the importance of the child's sex in the educational success. |
| Keywords: | Instrumental Variables (IV) Estimation, education attainments, Remittances, Morocco. |
| JEL: | F24 I21 |
| Date: | 2014–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:57051&r=ara |
| By: | Elasrag, Hussein |
| Abstract: | This paper is one of few papers that highlight the importance of studying corporate governance for institutions offering Islamic financial services. The book is of value in describing governance in Islamic institutions and how there are many issues under the investigation process, especially issues related to the shari‘a Supervisory board and its functionality. One of the objectives of this paper is to discuss, and create greater awareness of, some of the crucial issues related to corporate governance in Islamic financial institutions. A second, but in fact more important, objective is to provide, in the light of this discussion, certain essential guidelines to improve corporate governance in these institutions and thereby enable them to not only maintain their momentum of growth and international acceptance but also safeguard the interests of all stakeholders. The paper gives particular attention to the mechanisms for corporate governance, including the Board of Directors, Senior Management, shareholders, depositors, and regulatory and supervisory authorities. It also focuses on the effective management of risks and, in particular, on creating a supporting environment through moral uplift, social, legal and institutional checks, greater transparency, internal controls, and Shari'a as well as external audit. The paper also indicates briefly the shared institutions that are needed for effective corporate governance. |
| Keywords: | Corporate governance,Islamic Finance,ISLAMIC FINANCIAL INSTITUTIONS,SHARI‘A GOVERNANCE |
| JEL: | G0 G15 G2 G21 G34 |
| Date: | 2014–05–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56872&r=ara |
| By: | Burger, Nicholas; Ghosh-Dastidar, Bonnie; Grant, Audra; Joseph, George; Ruder, Teague; Tchakeva, Olesya; Wodon, Quentin |
| Abstract: | A large part of this study is based on data collected in 2011 in five focus countries of the MENA region. In addition, other existing data sources were used as well, as documented in the various chapters that follow, but this need not be discussed in this chapter. This chapter documents the process followed and some of the choices made for new data collection, both quantitative and qualitative, for the study on climate change and migration in the MENA region. After a brief introduction, we explain the nature of the household survey questionnaire, what it enables us to document, as well as some of its limits. Next, we explain how the household survey sites were selected and how the samples were constructed in each of the five focus countries. We also provide a few comments on the challenges encountered during survey implementation. The chapter finally explains the process used for the focus group discussions and in-depth interview, as well as for the interviews with key informants conducted in each country. |
| Keywords: | Climate change, Migration, Adaptation, Middle East and North Africa |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56929&r=ara |
| By: | Saiti, Buerhan; Bacha, Obiyathulla; Masih, Mansur |
| Abstract: | A major issue facing the investors in the financial markets of the contemporary world is to identify whether the observed stock market fluctuations are due mainly to contagion or fundamentals. This is due to the fact that if the fluctuations are mainly due to a contagion, then it is something like a ‘virus’ which would disappear after a few days. In contrast, if the fluctuations are mainly due to fundamentals, then it is something like a ‘pneumonia’ which is likely to continue for a long time. This study is the first attempt at testing whether there has been any contagion among the Shari’ah-compliant stock indexes during the most recent international financial crisis: the US subprime crisis of 2007-2009 and the Lehman Brothers collapse in 2008, with the application of a time-frequency decomposition technique known as ‘wavelet approach’ both in discrete and continuous forms recently imported to finance from engineering sciences. We analyze the daily data covering the period from June 2005 to December 2011 for the 18 MSCI conventional and Islamic stock market indexes of the Islamic (Malaysia, Indonesia, Turkey, GCC ex-Saudi) and non-Islamic countries (Japan, China, Korea, Taiwan and Hong Kong). Our study is focused on investigating the following empirical question: are the co-movements of selective stock markets normal (interdependent) or excessive (contagious) during the first and the second wave of the financial crisis? Our findings based on the time-frequency decomposition of wavelet approach are as follows: i) The wavelet correlation analysis indicates that, there is no clear evidence of contagion at any time-scales during the subprime mortgage crisis in USA; ii) However, during the collapse of Lehman Brothers, in all conventional stock indexes of non-Islamic countries except Japan, the wavelet correlation coefficients changed significantly at the first time-scale implying that there was a clear evidence of contagion at the first time-scale iii) But the conventional stock indexes of Islamic countries did not suffer from contagion excepting Indonesian MSCI stock index due to overlapping of confidence intervals iv) In all Islamic stock indexes in both Islamic and non-Islamic countries excepting China and Hong Kong Islamic MSCI indexes, the wavelet correlation coefficients changed insignificantly at all scales. Therefore, we fail to reject the null hypothesis implying that there was no clear evidence of contagion at all time-scales excepting China and Hong Kong. Additionally, for robustness, we studied the dynamic correlations between two continuous wavelet transforms through wavelet coherency analysis. The findings whether the stock comovements triggered by the financial crises were showing interdependence or contagion are plausible and intuitive and have implications for both the conventional and Shari’ah-compliant stock markets in terms of asset allocation strategy of risk managers and for policymakers’ optimal policy response to crises. |
| Keywords: | Wavelet time-frequency decompositions, Contagion, Interdependence, Wavelet Correlation, Wavelet coherence, conventional and Shari’ah-Compliant Stock markets |
| JEL: | C58 P5 |
| Date: | 2014–06–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56907&r=ara |
| By: | El Alaoui, Aicha; Ezzahidi, Elhadj; Eladnani, Mohamed Jellal |
| Abstract: | The concept of NAIRU summarized the observed negative correlation between the unemployment rate and the inflation rate for a number of countries. This correlation persuaded some analysts of the impossibility for governments to simultaneously target both low unemployment and price stability. Therefore, it was government's role to seek a point on the trade-off between the two objectives which matched a domestic social consensus. In this paper, we intend to estimate the Moroccan’s NAIRU for 1998Q1-2012Q4 period by applying the Kalman filter. |
| Keywords: | NAIRU, Kalman filter, HP filter, Cointegration, Unemployment rate, Inflation rate, Phillips curve, Morocco. |
| JEL: | C1 C13 C22 C3 E24 E3 E31 |
| Date: | 2013–11 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56815&r=ara |
| By: | Grant, Audra; Burger, Nicholas; Wodon, Quentin |
| Abstract: | This chapter is based on qualitative focus group and in-depth interview data collected among rural residents and urban migrants in the five focus countries for this study. The chapter documents the relationship between climate change and internal human mobility as seen by the population, as well as some of the other adaptation strategies used by households to cope with a deteriorating climate. Rural residents are clearly aware of climate change. They perceive a shift in climactic conditions that affects their livelihood due to deteriorating agricultural conditions. Among households affected by climate change, migration appears to be more of a strategy of last resort than of first resort, although there are exceptions. For those who migrate to urban areas, obtaining a job as well as a proper dwelling is hard and further hindered by corruption and competition for limited employment opportunities. The obligation to send remittances also puts pressure on migrants. Yet, despite difficulties and pressures, the perceived benefits of migration in terms of the independence and opportunities afforded by urban life remain substantial. |
| Keywords: | Climate change, Weather shocks, Migration, Adaptation, Middle East and North Africa |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56936&r=ara |
| By: | Dewandaru, Ginanjar; Alaoui, AbdelKader; Bacha, Obiyathulla; Masih, Mansur |
| Abstract: | Our study measures co-movements in Islamic and conventional equity markets, to discover contagion and to measure integration level. We apply wavelet decomposition to unveil the multi-horizon nature of co-movement. We find that the subprime crisis generates fundamental-based contagion for both markets. The less exposure for some Islamic indices can be due to low leverage effect and the exclusion of conventional financial stocks. We also find higher fundamental integration for Islamic markets, attributable to their allocation related to the real sector. Finally, we show a leading role of the LIBOR negatively over Islamic indices in the long run. |
| Keywords: | Islamic finance, Shariah, Shock transmission, financial crisis, contagion, interdependence, market integration, wavelet analysis, wavelet coherency |
| JEL: | C58 |
| Date: | 2014–06–26 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56888&r=ara |
| By: | Najeeb, Syed Faiq; Bacha, Obiyathulla; Masih, Mansur |
| Abstract: | The Islamic bonds or sukuk market is one of the fastest growing segments of the nearly US$2trillion global Islamic finance industry. However, lack of trading in secondary sukuk markets is a peculiar feature in this sector and both institutional and retail sukuk investors are known to adopt a held-to-maturity investment strategy. Consequently, there is a critical gap in literature in studying the portfolio diversification opportunities available to sukuk investors and evaluating these in the light of held-to-maturity strategies. This paper (using recently available data and continuous wavelet transform methodologies) has made an initial attempt to study the portfolio diversification strategies for Islamic bond (sukuk) portfolios across heterogeneous investment horizons using the Malaysian and the Gulf Cooperation Council (GCC) sukuk markets as a case study. Our findings critically indicate that returns between local currency sukuk in different markets have low levels of long-term correlations, thus enabling portfolio diversification benefits. However, international currency sukuk issued in different markets exhibit high levels of long-term correlations which impede portfolio diversification benefits for held-to-maturity investments. A similar impediment is also witnessed in the domestic market context where diversification is intended by investing in different types of domestic sukuk. Overall, our findings critically highlight the feasibility of held-to-maturity sukuk investment strategies from a portfolio diversification perspective. |
| Keywords: | Portfolio Diversification, Sukuk, Islamic Bonds, Continuous wavelet analysis |
| JEL: | C63 G11 G12 G24 Z12 |
| Date: | 2014–06–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56956&r=ara |
| By: | Daher, Hassan; Masih, A.Mansur M.; Ibrahim, Mansor H. |
| Abstract: | In the aftermath of the recent financial crisis, the inherent linkages between banks’ capital buffers and risk took center stage as policy makers promoted a more resilient global banking system. The growing recognition of Islamic banking as a viable alternative-banking model warrants the need to investigate the overall susceptibilities of Islamic banks’ capital buffers to unique risks emanating from their operating environments. We examine this issue over the period 2005-2012 in the 18 countries where Islamic and conventional commercial banks coexist. We employ a panel model using dynamic Generalized Methods of Moments (GMM) on a data set comprising 128 commercial banks of which 44 are Islamic commercial banks. The search for alternative forms of prudential regulation over and above risk based capital guidelines has also shifted the attention of policy makers towards investigating the disciplining effects of banks’ charter values on capital buffers. We test this issue for Islamic banks, and whether the relationship varies as a function of the size of the charter as implied by theory. We employ the cross-section threshold approach suggested by Hansen (2000) for 101 publicly listed commercial banks in the same countries. To the best of our knowledge, this study is the first attempt to examine empirically the aforementioned issues for Islamic banks. This study is expected to expose shortcomings in capital adequacy guidelines and raises distinct policy implications with regards to the regulation and supervision of Islamic banks in countries where both bank types co-exist. |
| Keywords: | Islamic banks, capital buffers, risk management, charter values, nonlinear, policy implications |
| JEL: | G21 G28 |
| Date: | 2014–06–28 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56947&r=ara |
| By: | Cong Nguyen, Minh; Wodon, Quentin |
| Abstract: | Do extreme weather events such as droughts or floods lead to migration away from the areas affected by these events? This chapter aims to provide an answer to that question for Morocco using a new nationally representative household survey implemented in 2009-10. The data suggest that around one in four households have been affected by weather shocks in the five years preceding the survey implementation. Droughts and floods are not directly identified by households as major reasons for migration, but insufficient agricultural revenue and a lack of agricultural employment as well as better employment opportunities at the place of destination are mentioned as reasons to migrate, and these are affected by adverse weather shocks. Furthermore, in regression analysis, after controlling for a wide range of individual and household characteristics, the probability of both temporary and permanent migration increases if the household has been affected by an adverse weather shock or the consequences thereof. Thus, while adverse weather events may not be the main driver of migration, they do contribute to it. |
| Keywords: | Climate change, Weather shocks, Migration, Morocco |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56938&r=ara |
| By: | El Baz, Osama |
| Abstract: | This paper investigated the determinants of inflation in the Egyptian economy. Using annual data, covering the period (1991-2012), a Vector Auto Regression Model (VAR) was estimated. The results of the empirical model confirmed that inflation rate responds positively in the first period following shocks to itself, domestic liquidity growth rate, output gap, exchange rate depreciation, and world food prices. Also, expectations seemed to play an important role as inflation rate responds positively to a shock in itself in the first year following the shock, which reinforces the idea that inflationary expectations will generate more inflation. In the short run inflation is explained mostly by its own fluctuations followed by output gap, domestic liquidity growth rate, and nominal depreciation of the Egyptian pound against the US dollar, while in a 5-year horizon about 56% of inflation dynamics can be attributed to factors other than inflation expectations "itself". |
| Keywords: | Inflation,Phillips Curve, VAR, IRFs |
| JEL: | E5 E52 E58 |
| Date: | 2014–05–12 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56978&r=ara |
| By: | Cong Nguyen, Minh; Wodon, Quentin |
| Abstract: | What is the likelihood that Moroccan households, and especially those involved in agriculture, may be confronted with extreme weather events such as droughts and floods? Who suffers the most from such events when they occur? To what extent are different types of households able to recover from such shocks? This chapter provides answers to these questions on the basis of questions on weather shocks added to a nationally representative household survey implemented in Morocco in 2009-10. The data suggest that most households working in agriculture are affected by weather shocks, often seriously. In the population as a whole, the proportion of households affected is about one fourth. A majority of households declare not being able to recover much from weather shocks, as well as other shocks. But in comparison to other shocks, including unexpected increases in the prices of food and other basic essential commodities, households are slightly more likely to be able to recover from weather shocks. |
| Keywords: | Climate change, Weather shocks, Impact on households, Morocco |
| JEL: | I31 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56932&r=ara |
| By: | Joseph, George; Wodon, Quentin; Liverani, Andrea; Blankespoor, Brian |
| Abstract: | Concerns abound about the potential impact of climate change on future migration, especially in the Middle East and North Africa, one of the regions that is likely to suffer the most from climate change. Yet it is not clear whether so far climate patterns have been a key driver of internal migration in countries such as Yemen, despite the pressures created by water scarcity. By combining data from Yemen’s latest census and a weather database as well as other geographic information, we analyze the determinants of past net internal migration rates. Next, using future climate change scenarios, we predict the potential impact of rising temperatures on future net internal migration rates. The results suggest that while climate does have an impact on net internal migration rates, this impact is limited, so that on the basis of past patterns of climate and migration, rising temperature may not have a large impact on future net internal migration. |
| Keywords: | Climate change, Migration, Yemen |
| JEL: | R23 |
| Date: | 2014–06 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56937&r=ara |
| By: | Rizvi, Aun; Masih, Mansur |
| Abstract: | Global reliance on Hydrocarbon sector has dramatically increased multi-fold which has led to rise to dominance of GCC. GCC is home to 45% of the proven oil reserves and contributes nearly 35% of the world oil exports annually. With such heavy reliance of the world on GCC for its oil produce, and the GCC’s economic reliance on Oil and Gas exports, the matter of world oil price shocks and its transmission to other areas of economy is of immense importance to the GCC economies. With Oil wealth accumulating in GCC with some estimates of over $500 billion, oil shocks and stock market volatility in GCC has emerged as a key concern area. Our paper focuses on understanding the short term and long term correlation between oil price shocks and GCC stock market’s volatility and the presence of any lead lag relationships. This study provides unique findings, different from earlier studies as we are able to analyze with non-linearity and least restrictive assumptions. The findings of this study are paramount for portfolio managers for their diversification benefit as well as timing of investment and divestment purposes. |
| Keywords: | GCC, Oil Price Shocks, Stock Market Volatility, Hydrocarbon Exports |
| JEL: | C22 C58 O13 Q43 |
| Date: | 2014–06–29 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56993&r=ara |
| By: | Khan, Aftab; Masih, Mansur |
| Abstract: | The repercussions of the recent financial crisis were felt over different parts of the world causing much calamity to different markets, economies and investors. The capital markets, in particular, took a severe hit during the crisis plummeting to all-time lows. However, before the crisis, the significant rise in commodity prices since 2002 and their subsequent fall since July 2008 have revived the debate on the role of commodities in the strategic and tactical asset allocation process. Therefore, the understanding of relationship between commodities and stock markets is crucial, especially during the crisis, when investors are looking for alternative investment opportunities. In this paper, we focus on commodity markets and their relation with Islamic stock markets during the recent financial crisis. This is the first attempt to study this relationship in the important and growing area of Islamic capital markets with the help of the recent dynamic conditional correlation (DCC) GARCH methodology. The focus of the study is to look into the dynamics of the correlations between both markets, and analyze whether those time-varying correlations evolve according to the situation—bullish or bearish—in the stock market. This paper investigates the links between price returns for 5 commodity sectors and Islamic stock market over the period from January 2001 to March 2013, by paying a particular attention to the Energy sector. We show that the correlations between commodity and Islamic stock markets evolve through time and are highly volatile, particularly since the 2007-2008 financial crises. The latter has played a key role, emphasizing the links between Islamic stock and commodity markets, and underlining the financialization of commodity markets. At the idiosyncratic level, a speculation phenomenon is highlighted for energy sector (oil), while the safe-haven role of precious metal sector (gold) is evidenced. |
| Keywords: | Islamic Capital Market, Commodity Market, Financial Crisis, Multivariate GARCH Dynamic Conditional Correlations. |
| JEL: | C22 Q43 |
| Date: | 2014–06–29 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:56979&r=ara |
| By: | Zahra Ben Braham (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR7322 - Université d'Orléans); Sébastien Galanti (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR7322 - Université d'Orléans) |
| Abstract: | Financial analysts issue "buy", "sell" or "hold" recommendation about stocks. Recommendations have value if investors trade upon them, which should affect prices and trading volumes. We use the methodology of event study to analyze price and volume reaction to the recommendation release. With a database of 6646 recommendations about 55 companies on the Tunisian Stock Exchange (BVMT) from 2005 to 2009, we show that prices and volumes react significantly to recommendations level. However, we only provide a weak evidence of reaction to changes in recommendations. We explain this result by a special feature of this market place: the systematic release of monthly recommendations, in contrast to developed markets where new recommendations are issued only if new information is available. This can focus investors on the confirmation of the recommendation, rather than on their revisions. We also find a special feature of emerging stock markets, which is that volumes are abnormally low for most of the event period following a "sell" or "hold" recommendation, whereas in that case they are abnormally high in more liquid markets. |
| Keywords: | Financial Analyst Recommendations ; Broker ; Emerging Stock Markets |
| Date: | 2014–06–26 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-01015380&r=ara |
| By: | Bouoiyour, Jamal; Miftah, Amal |
| Abstract: | For several decades the fight against poverty has become a major policy concern for national governments and international institutions. In this paper, we examine the effect of remittances on poverty and inequality by using an original database of migrants in Morocco. The survey data were collected in the region of Souss-Massa-Draa. We estimate the migrant home earnings under the assumptions of absence of migration and remittances before comparing it to the household income when the migrant leave their native countries. We find that remittances can reduce the number of poor and vulnerable household. Our findings also suggest that these remittances inflows have increased income inequality when compared with the no-migration counterfactual situation. |
| Keywords: | Income distribution, Morocco, Poverty, Remittances. |
| JEL: | F24 R29 |
| Date: | 2014–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:57052&r=ara |