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on MENA - Middle East and North Africa |
| By: | Metin Ilbasmis; Marc Gronwald; Yuan Zhao |
| Abstract: | This paper investigates dynamic conditional correlations between stock and REIT markets in both Turkey and the U.S. We use an Asymmetric DCC - GJR - GARCH model to estimate the dynamic conditional correlation at daily, weekly, and monthly frequencies. Our contribution is threefold. First, we find a that downward trend in the daily conditional correlation in the Turkish market, which is contrary to the literature, while the upward trend in the correlation of the two U.S. markets is consistent with the literature. Second, we observe that the trend in the correlation changes the direction with the 2008 Global Financial Crisis. The negative trend in Turkish market becomes positive and the positive trend in the U.S. market becomes negative after the crisis, which could indicate a structural break in the REIT market caused by the crisis. Third, we find that the dividend policy of REITs plays an important role on the dynamics of the correlation. Dividend payments by Turkish REITs decrease their conditional correlation with the Turkish stock market while no such relationship is detected in the U.S. We argue that both the relationship between dividend payments by REITs and REIT correlation with the stock index is associated with the different regulatory environment of REITs in Turkey. |
| Keywords: | REITs, equity, correlations, DCC-GARCH, deterministic trend, dividend policy |
| JEL: | C51 C58 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_7015&r=ara |
| By: | Nidhaleddine Ben Cheikh; Sami Ben Naceur; Oussama Kanaan; Christophe Rault |
| Abstract: | Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior. |
| Date: | 2018–05–09 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:18/98&r=ara |
| By: | Maria Elkhdari; Moez Souissi; Andrew Jewell |
| Abstract: | At a time when Algeria must undertake considerable fiscal consolidation to restore sustainability, the issue of fiscal multipliers has come to the fore. This paper estimates short-term and long-term fiscal multipliers for Algeria applying several econometric methodologies, including Local Projection Methodology and Vector Autoregressive Models, and using both Algeria-specific and panel data. The paper also explores asymmetries related to the sign of the output gap as well as the direction of spending. The results suggest that (i) average fiscal multipliers for Algeria are generally moderate and below unity; (ii) the impact of public spending shocks is more important when the output gap is negative; (iii) fiscal spending multipliers are significantly larger during spending contraction than expansion; (iv) procyclicality in public spending does not appear to affect output, except for capital spending cuts when the output gap is negative; and (v) while multipliers associated with countercyclical public spending can be sizeable, a contraction in current spending does not materially affect non-oil GDP. |
| Date: | 2018–05–31 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:18/124&r=ara |
| By: | Lamia SABOUR ALAOUI (Faculté des Sciences Juridiques, Economiques et Sociales) |
| Abstract: | In Morocco the concept of corporate social responsibility has become present in academic research as in the business world. Each company must integrate in its strategy, the implementation of a societal responsibility approach to attract new national and international market. The big Moroccan companies are aware of the importance of this trend, but this notion is still new for Moroccan SME (small and medium enterprise). The purpose of this article is to determine societal responsibility practices in Morocco and in SMEs in the province of El Jadida in particular. SMEs in this region have an important role in national industrial development. The first part is devoted to defending social responsibility in general and in Morocco in particular. Next, we identify the social responsibility practices that differentiate the Moroccan SME. For the third part we will present the research methodology and show the results obtained from the survey. |
| Keywords: | Corporate social responsibility, SME, development |
| Date: | 2018–04 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:7508535&r=ara |
| By: | Bénédicte Fonteneau (HIVA, KU Leuven); Sarah Vaes (HIVA, KU Leuven); Jan Van Ongevalle (HIVA, KU Leuven) |
| Abstract: | Social protection has come to feature more and more prominently on international and national development agendas. This quest for social protection in developing countries raises an important question: how can social protection act and be supported as an instrument for redistribution of wealth at the national level? Assessing and enhancing the redistributive potential of social protection mechanisms requires a multidimensional analysis and approach, encompassing political, technical, institutional and financial considerations. This study reports on a two-phased research combining conceptual work (Fonteneau & Van Ongevalle, 2015) with case studies in Senegal and Morocco in order to build and test a theoretical framework that can guide the assessment of the redistributive potential of social protection mechanisms in a developing context. The study offers in-depth insight into two ongoing social protection reforms: the adoption of Law 65.00 in 2002 on Basic Medical Coverage which initiated the introduction of a mandatory health insurance (AMO) for the formal sector and the establishment of a medical assistance scheme for the economically destitute (RAMED) in Morocco; and the ‘Extension of the health coverage through mutual health organisations in the context of decentralisation’ (DECAM) in Senegal. Based on insights from these two case studies, the study calls for development actors to support a maximalist interpretation of redistributive social protection, to make sure their support to social protection reforms is politically-smart, and to promote a more inclusive and meaningful stakeholder participation in policy making processes. The study demonstrates the need for a multidimensional analysis as well as the usefulness of the proposed theoretical framework to guide a comprehensive assessment of the redistributive potential of social protection mechanisms. |
| Keywords: | Social protection, reedistributive social protection, international development, donor funding, financing social protection, political dimensions of social protection |
| JEL: | I I3 |
| Date: | 2017–05 |
| URL: | http://d.repec.org/n?u=RePEc:nam:befdwp:0121&r=ara |
| By: | Fela Özbey (Çukurova University) |
| Abstract: | A large number of studies have examined the relationship between the trade balance and the exchange rate, focusing on whether depreciations improve the trade balance in the long run and whether this effect is different in the short run. In general, it is argued that the short run effect of currency depreciation is to worsen the trade balance, but this is reversed in the long run; thus, producing the J-curve shape. The aim of this study is to investigate the short run and long run effects of the real effective exchange rate on the trade balance of Turkey and to infer whether Marshall-Lerner condition and J-curve effect exist. To do that, monthly data covering the period 2003:M1-2017:M3 is used. The relationship between variables is estimated using autoregressive distributed lag (ARDL) model, and Bounds test is applied to examine the existence of a long run relationship. Overall results are in favor of a long run relationship and suggest that Marshall-Lerner condition is satisfied. No evidence is found supporting J-curve effect. |
| Keywords: | ARDL Model, J-Curve Effect, Marshall-Lerner Condition, Real Effective Exchange Rate, Trade Balance |
| JEL: | C22 C51 F14 |
| Date: | 2018–04 |
| URL: | http://d.repec.org/n?u=RePEc:sek:iacpro:7508666&r=ara |
| By: | Abdullah, Nur Shahila |
| Abstract: | The aim of this study is to analyse the performance of hotel industry in United Arab Emirates during five years. This study was carried out using the secondary data which was obtained from the annual reports of five companies in consecutive years from 2012 until 2016. Return on asset (ROA) has been as the dependent variable to study its relationship with the independent variables such as Return on Equity (ROE), unemployment rate, exchange rate and other risk factor variables. The enter method was used to obtain the correlation and regression result to observe the significance level of the risk with the profits. The finding show that the company performance can be influenced by the risk and economic environment. |
| Keywords: | Profitability, ROA, ROE, Exchange rate, Unemployment rate |
| JEL: | G3 |
| Date: | 2018–04–20 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:86824&r=ara |
| By: | Sacit Hadi Akdede; Victor Ginsburgh; Aynur Uçkaç |
| Abstract: | This paper shows that the number of roles in international theatre plays has been decreasing over time. Playwrights seem to internalize the costs of producing plays with too many roles by downsizing. This downsizing is not a recent phenomenon: it is going for many decades. We also analyze the case of Turkey for which we have data that make it possible to compare the number of roles in produced and non-produced plays. |
| Keywords: | Number of roles, cast size, Baumol cost disease, playwrights |
| Date: | 2018–05 |
| URL: | http://d.repec.org/n?u=RePEc:eca:wpaper:2013/271225&r=ara |
| By: | International Monetary Fund |
| Abstract: | A consumption-led, timid recovery has increased macroeconomic vulnerabilities. Growth almost doubled to 1.9 percent in 2017, but record fiscal spending and strong credit growth, combined with dinar depreciation, pushed inflation to 7.1 percent in February 2018. The current account deficit widened to 10.1 percent of GDP over 2017 and reserve cover fell to 2.6 months of imports in early March 2018. Public and external debt finished 2017 at 71 percent and 80 percent of GDP, respectively. Discontent about economic conditions and the residual impact of several shocks—notably the 2015 terrorist attacks, political uncertainty, and spillovers from the Libyan conflict—continue to weigh on confidence and policy implementation. |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfscr:18/120&r=ara |
| By: | Arslantas, Yasin |
| Abstract: | This paper examines the motives, timing and informal constraints of state confiscation in the Ottoman Empire, focusing on one of its most turbulent and confiscatory periods, 1750-1839. Utilizing a new dataset uncovered from confiscation inventories, I first demonstrate that confiscations were practiced on a selective basis, targeting some office-holders and tax farmers. Second, employing a two-step econometric framework inspired by the gradual nature of Ottoman confiscations, I argue that the initial decision whether to send an agent to confiscate one’s wealth was driven mainly by severity of war and expected costs of confiscation, while attributes of wealth and bargaining power of families vis-à-vis the central administration shaped the outcome of the second step. |
| Keywords: | Ottoman Empire; Confiscation; State Predation; Institutions; State Capacity; Property Rights |
| JEL: | H1 N25 P48 |
| Date: | 2018–04 |
| URL: | http://d.repec.org/n?u=RePEc:ehl:wpaper:88096&r=ara |
| By: | SAIDI, Abdessamad (Bank Al-Maghrib, Département de la Recherche); BENAZZI, Sara (Bank Al-Maghrib, Département de la Recherche); EL OTHMANI, Jawad (Bank Al-Maghrib, Département de la Recherche) |
| Abstract: | This working paper provides a measure of the human capital stock in Morocco in 1999 and 2012, by adopting the lifetime income approach (Jorgenson and Fraumeni, 1989, 1992a, 1992b). The results show that during the period 1999-2012, the stock of human capital rose at an annual average rate of 3% in real terms and remains the leading source of wealth in Morocco. This evolution is due, on the one hand, to the increase in the number of individuals in the working-age population and, on the other hand, to the relative improvement of their education level. However, the quality of the education and training system and the low employment rate remain the key challenges to be tackled in order to further increase human capital and maintain its position as the main source of wealth in Morocco. Finally, the estimations carried so far in this study have been enhanced by sensitivity analysis with respect to the data about salaries and the assumptions made about expected future income growth and its discount rate. |
| Keywords: | Capital humain; Richesse globale; Approche du revenu de la vie entière. |
| JEL: | I30 J24 |
| Date: | 2018–05–14 |
| URL: | http://d.repec.org/n?u=RePEc:ris:bkamdt:2018_001&r=ara |
| By: | Bouhdaoui, Yassine (Bank Al-Maghrib, Département de la Recherche) |
| Abstract: | By adding denominations to their coin and banknote series central banks can increase the efficiency of cash payments. In practice, however, they opt for a denominational structure with a relatively low density. The literature holds that this is because of the production costs involved. Bouhdaoui and Van Hove (2017) test this proposition by introducing a per-denomination fixed cost into the matching model of Lee et al. (2005) and parameterize the model with data on the production of US dollar banknotes. This paper aims to test this assumption using production figures of Moroccan banknotes. The results confirm that central banks could increase the density of their currency systems beyond the observed level without the efficiency gains for transactors being dwarfed by the additional production costs for the central bank itself. Our finding shows that the explanation for the low density rather lies with computational and habituation costs incurred by consumers and merchants - and anticipated by central banks - that are not yet in any of the extant models. |
| Keywords: | Divisions monétaires; Billets de banque; Banque centrale; Coût social; modèle de search. |
| JEL: | E40 E42 E47 |
| Date: | 2018–05–14 |
| URL: | http://d.repec.org/n?u=RePEc:ris:bkamdt:2018_003&r=ara |
| By: | Bennouna, Hicham (Bank Al-Maghrib, Département de la Recherche); Bounader, Lahcen (Bank Al-Maghrib, Département de la Recherche) |
| Abstract: | The objective of this study is to evaluate the monetary policy transmission along the sovereign bond yield curve (2, 5 and 10 years) in Morocco through the estimation of several SVAR models between 2007-2017. Two different approaches for identifying structural shocks were used: (1) recursive factorization of Christiano-Eichenbaum-Evans (1999) and (2) non-recursive identification of Sims-Zha (2006). The variance decomposition suggests that macroeconomic impulses account for the vast preponderance of 5-year and 10-year variability compared to 2-year government bills. Similarly, the impulse response functions show that tighter monetary policy makes the yield curve steeper, meaning that the long-end of the yield curve increases more than the short-end. Moreover, the results suggest that an important part of 5 and 10 years sovereign bond reaction is explained by the « risk premium » component while the 2-year treasury bills are driven by monetary policy shocks. |
| Keywords: | Courbe des taux; prime de risque; décomposition de la variance; chocs de politique monétaire. |
| JEL: | E43 E52 E58 G12 |
| Date: | 2018–05–14 |
| URL: | http://d.repec.org/n?u=RePEc:ris:bkamdt:2018_002&r=ara |