[ Effets macroéconomiques des chocs de la politique budgétaire au Maroc : Une analyse en VAR structurel linéaire ]
Volume 24, Issue 4, November 2018, Pages 1462–1474
Anouar Ghazi1
1 Département des sciences économiques, Faculté des sciences économiques juridiques et sociales Souissi, Université Mohamed V de Rabat, Morocco
Original language: French
Copyright © 2018 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
This article assesses the short-term macroeconomic effects of fiscal policy on economic activity in Morocco. Over the period from 1990 (Q1) to 2015 (Q4), a structural autoregressive vector (VAR) of five variables is estimated and identified using the recursive approach and Blanchard and Perotti’s approach (2002). The estimates reveal the following main results: (i) an expenditure shock has a positive statistically significant effect between the sixth and twelfth quarter; (ii) the interest rate and inflation react positively to the expenditure shock, but this effect is not statistically significant. ii) A tax revenue shock affects negatively output, inflation, while the interest rate reacts positively. In addition, iii) the fiscal multipliers calculated from the reaction functions indicate that the expenditure multiplier, has a positive sign, but it doesn’t exceed one. In contrast, (iv) the revenue multiplier has a negative sign and exceeds one, indicating that a tax revenues have a greater impact in comparison with expenditures. However, the tax multiplier varies according to the estimated methodology, unlike the expenditure multiplier whose result is robust according to the two identification approaches.
Author Keywords: Budgetary expenditure, tax revenue, budget shocks, budget multipliers, SVAR model, economic activity.
Volume 24, Issue 4, November 2018, Pages 1462–1474
Anouar Ghazi1
1 Département des sciences économiques, Faculté des sciences économiques juridiques et sociales Souissi, Université Mohamed V de Rabat, Morocco
Original language: French
Copyright © 2018 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
This article assesses the short-term macroeconomic effects of fiscal policy on economic activity in Morocco. Over the period from 1990 (Q1) to 2015 (Q4), a structural autoregressive vector (VAR) of five variables is estimated and identified using the recursive approach and Blanchard and Perotti’s approach (2002). The estimates reveal the following main results: (i) an expenditure shock has a positive statistically significant effect between the sixth and twelfth quarter; (ii) the interest rate and inflation react positively to the expenditure shock, but this effect is not statistically significant. ii) A tax revenue shock affects negatively output, inflation, while the interest rate reacts positively. In addition, iii) the fiscal multipliers calculated from the reaction functions indicate that the expenditure multiplier, has a positive sign, but it doesn’t exceed one. In contrast, (iv) the revenue multiplier has a negative sign and exceeds one, indicating that a tax revenues have a greater impact in comparison with expenditures. However, the tax multiplier varies according to the estimated methodology, unlike the expenditure multiplier whose result is robust according to the two identification approaches.
Author Keywords: Budgetary expenditure, tax revenue, budget shocks, budget multipliers, SVAR model, economic activity.
Abstract: (french)
Cet article évalue les effets macroéconomiques de court terme de la politique budgétaire sur l’activité économique au Maroc. Sur la période allant de 1990 (T1) à 2015 (T4), un vectoriel autorégressif structurel (VARs) de cinq variables est estimé et identifié selon l’approche récursive et l’approche de Blanchard et Perotti (2002). Les estimations laissent dégager les principaux résultats suivants : i) un choc de dépense exerce un effet positif statistiquement significatif entre le 6ème et le 12ème trimestre, ii) Le taux d’intérêt et l’inflation réagissent aussi positivement à choc de dépense, mais cet effet n’est pas statistiquement significatif. ii) Un choc de recette fiscale affecte négativement la production, l’inflation, tandis que le taux d’intérêt réagit positivement. En outre, iii) les multiplicateurs budgétaires calculés à partir des fonctions de réactions indiquent que le multiplicateur de dépense bien qu’il soit de signe positif ne dépasse pas l’unité. En revanche, iv) le multiplicateur de recette est de signe négatif et dépasse l’unité, indiquant ainsi que les recettes fiscales ont un impact plus prononcé en comparaison avec les dépenses. Toutefois, le multiplicateur de recette varie en fonction de la méthodologie estimée contrairement au multiplicateur de dépense dont le résultat est robuste selon les deux approches d’identification.
Author Keywords: Dépense budgétaire, recette fiscale, chocs budgétaires, multiplicateurs budgétaires, modèle SVAR, activité économique.
How to Cite this Article
Anouar Ghazi, “Macroeconomic effects of fiscal policy shocks in Morocco : A linear structural VAR analysis,” International Journal of Innovation and Applied Studies, vol. 24, no. 4, pp. 1462–1474, November 2018.
