What Mitigates Economic Growth Volatility in Morocco?: Remittances or FDI

( Jamal Bouoiyour ),( Refk Selmi ),( Amal Miftah ) 세종대학교 경제통합연구소 2016 Journal of Economic Integration Vol.31 No.1

The purpose of the paper is twofold. First, it seeks to meticulously analyze the volatility of economic growth and financial flows in the case of Morocco, i.e., remittances and Foreign Direct Investment. Second, it attempts to address the effects of these financial flows on the economic growth volatility. We provide strong evidence that remittances are less volatile than Foreign Direct Investment with respect to the duration, intensity and volatility clustering. Furthermore, remittances can mitigate the volatility of growth, while Foreign Direct Investment flows amplify it. Our results do not imply that financial flows should be privileged by Moroccan authorities. In fact, our results should encourage the government to implement proactive and favourable policies geared towards productive investment.

Heterogeneous Responses to China and Oil Shocks: the G7 Stock Markets

( Jamal Bouoiyour ),( Refk Selmi ) 세종대학교 경제통합연구소 2018 Journal of Economic Integration Vol.33 No.3

Given its size and integration with the global economy, Chinese economic downturn could have momentous spillovers to the rest of the world and result in a decline in oil prices. This article investigates whether the Chinese economic slowdown and the oil prices affect the G7 stock market. We use a Quantile-on-Quantile regression approach to capture the correlation structure between the G7 stock returns and oil price returns under different G7 market conditions with considering nuances of oil price movements and Chinese slowdown. Data are employed over the period of January 1999 ~ December 2015. Our results show that the responses of G7 stock returns to China and oil shocks are likely to be asymmetric, nonlinear and country-specific. The stock market returns of Germany, Italy and Canada appear the most vulnerable to these shocks. Our results suggest that international investors consider the states of stock market returns and oil price alongside with the interaction effect between China’s economic slowdown and oil market.

HOUSEHOLD WELFARE, INTERNATIONAL MIGRATION AND CHILDREN TIME ALLOCATION IN RURAL MOROCCO

JAMAL BOUOIYOUR,AMAL MIFTAH 중앙대학교 경제연구소 2014 Journal of Economic Development Vol.39 No.2

This paper examines the impact of remittances on child labor and education in recipient Moroccan households. Based on propensity-score matching methods, we find a positive effect of remittances on the investment in education. Furthermore, living in migrant households who combine school with work is clearly lower compared to the number of children from households of the control group. Our results show the positive effect of remittances on the schooling of the poor children. It also seems that the partial participation of poor children in work declines significantly through migrant remittances.

Are BRICS Markets Equally Exposed to Trump’s Agenda?

( Jamal Bouoiyour ),( Refk Selmi ) 세종대학교 경제통합연구소 2018 Journal of Economic Integration Vol.33 No.2

There is no doubt that politicians exert a significant impact on stock markets. The evolving financial market volatility over the United States presidential election is a prime example of how elections have an impact on financial markets. This study assessed whether BRICS stock markets were equally vulnerable to Trump’s agenda using event-study methodology and regression-based intention votes over a period of 120 days toward the final election result on 08 November 2016. It was shown that although Trump’s win had a negative effect on some markets, it had a positive effect on others. It had the most adverse impact on China together with Brazil. Although not to the same degree as these two countries, India and South Africa were also affected negatively. These adverse reactions can be explained by Trump’s neo-mercantilist attitude, which involves cancelling trade deals and instituting tariffs. However, the effects on Russia appear to be positive due to the expectations about the easing of sanctions imposed on Russia because of the Russian role in the conflict of Ukraine.

Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries

Jamal Bouoiyour,Refk Selmi,Syed Jawad Hussain Shahzad,Muhammad Shahbaz 세종대학교 경제통합연구소 2017 Journal of Economic Integration Vol.32 No.4

This paper examines the entire dependence structure of the quantile of stock return and that of oil price shocks, thereby extending the Quantile Regression to a Quantile-on-Quantile Regression. Based on historical monthly data covering the period April 1994~ September 2015, it was shown that there is substantial heterogeneity in the stock returns and oil price relationship across oil importing countries and oil exporting countries. Specifically, we find that the stocks of oil exporters that possess large proven oil reserves, in particular, Venezuela, Russia, and Saudi Arabia are typically more responsive toward demand-side oil shocks than those of oil importers. The intensity and the extent of these responses differ depending on the different stock market conditions and the nuances of oil price movements. Accordingly, profitable speculation and arbitrage strategies can be built on the basis of our findings.

How Differently Does Oil Price Influence BRICS Stock Markets?

( Jamal Bouoiyour ),( Refk Selmi ) 세종대학교 경제통합연구소 2016 Journal of Economic Integration Vol.31 No.3

This article explores the strength and extent of causal relationship between BRICS (Brazil, Russia, India, China and South Africa) stock returns and real oil price using frequency domain approach of Breitung and Candelon (2006). This technique offers an appropriate alternative tool by investigating the causality in frequency domain, while standard causality tests focus only on the time domain. Using 1998-2015 quarterly data, we show that the impact of oil price on stock returns is not uniform across the investigated countries. Even though the slowly (quickly) fluctuating components of oil price exert a significant influence on real stock returns in Brazil and Russia (India and South Africa), medium and long term hidden factors were found as potential contributors of Chinese share market. The oil dependence profile, the distribution of market share between companies, the financial system efficiency and the effectiveness of regulation in securities markets have been offered to explain the heterogeneous responses of BRICS equities.

Common and Country-Specific Uncertainty Fluctuations in Major Oil-Producing Countries: A Comparative Study

Refk Selmi,Jamal Bouoiyour,Shawkat Hammoudeh 세종대학교 경제통합연구소 2020 Journal of Economic Integration Vol.35 No.4

In the wake of recent political developments worldwide, future oil supply prospects have become doubtful and uncertainty plays a non-negligible role in determining the dynamics of major macroeconomic variables. This study constructs a factor model with time-varying loadings to decompose the variance of important macroeconomic and financial series for the top 10 oil-producing countries into the contributions from country-specific uncertainty and common uncertainty. The relative importance of the uncertainty estimates in explaining volatility in production, investment, total exports, the exchange rate, and stock prices seems to vary over time, with evidence of alternating periods of high and low persistent uncertainty. Global uncertainty plays a primary role output growth, investment, exports, and stock prices in all countries. Globalization and trade openness contribute to amplifying the international transmission of volatility, explaining the increasing importance of the global uncertainty factor.

South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality

Jean-Claude Kouakou Brou,Jamal Bouoiyour 세종대학교 경제통합연구소 2023 Journal of Economic Integration Vol.38 No.4

This paper aims to analyse the evolution of public debt in South Africa using new and original methods. The case of South Africa has been little studied in the literature on debt because the level of debt in this country remains reasonable. Moreover, the use of non-standard methods allows for a fine-grained analysis of the public debt time series and, consequently, to draw unprecedented conclusions. Using the Multifractal Detrended Fluctuation Analysis (MF-DFA) method borrowed from solid state physics and medicine, we conclude that South Africa's debt has a multifractal character, which originates from the long memory effect. Thus, South Africa's public debt is unsustainable. The inefficiency of this market has been particularly exacerbated by the various shocks throughout the sample period.