Bennouna Hicham | University Mohamed V, Faculté Des Sciences Rabat Agdal (original) (raw)
Papers by Bennouna Hicham
Working paper, 2019
This paper investigates the impact of monetary policy on firms’ liability structure depending on ... more This paper investigates the impact of monetary policy on firms’ liability structure depending on their specific characteristics (size, age, profit, and collateral) over the period 2010 to 2016 using firm-level data. Our results provide evidence that firms borrowing tend to decrease after a
restrictive monetary policy, in line with the traditional interest rate channel. We confirm that small and medium firms are more significantly affected by tight monetary policy conditions than large firms, suggesting the existence of the balance sheet channel in Morocco.
Bank Al-Maghrib Working paper series, 2018
We investigate the relationship between monetary policy decisions and retail lending rates using ... more We investigate the relationship between monetary policy decisions and retail lending rates using retail bank interest rates extracted from the quarterly survey conducted by Bank Al-Maghrib. The data covers the rates of new business loans for four market segments (real estate, short-term credit facilities and overdrafts, investment and consumption) broken down by institutional sector (households, non-financial firms and individual entrepreneurs) between 2006Q2 and 2017Q2. We examine the interest rate pass-through mechanism and the speed of adjustment using heterogeneous panel cointegration framework. Our findings suggest that there is a high degree of pass-through heterogeneity over bank products. The long-term pass-through for real estate and investment loans is complete. We reject the completeness hypothesis for short-term credit facilities and consumption loans. Corporate loans are priced more competitive than household and individual entrepreneur products. We find evidence of a homogeneous pricing policy in the
long-run, however, the speed of adjustment and the mark-up seem to be heterogeneous across banks depending on their financial structure.
The objective of this study is to evaluate the monetary policy transmission along the sovereign b... more 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.
La compréhension de la transmission des décisions de politique monétaire présente un enjeu majeur... more La compréhension de la transmission des décisions de politique monétaire présente un enjeu majeur pour les Banques centrales vu qu’elle permet d’informer sur leur capacité à orienter les sphères financière et réelle par le biais des instruments dont elles disposent. Dans cette perspective, ce travail présente une analyse des canaux de transmission de la politique monétaire au Maroc, moyennant d’une part, l’évaluation de l’environnement de mise en œuvre de la politique monétaire, et d’autre part, l’estimation de deux modèles SVAR et NKM permettant de mesurer empiriquement l’amplitude des réactions aux chocs monétaires. L’analyse du cadre institutionnel et de l’environnement macrofinancier révèle qu’en dépit de la persistance d’un certain nombre de rigidités, les réformes engagées durant la dernière décennie ont consolidé les prérequis permettant de renforcer l’effectivité des canaux de transmission. Sur le plan empirique, les résultats ont montré que la politique monétaire est en mesure d’influencer l’évolution des principaux agrégats macroéconomiques notamment via les canaux taux d’intérêt et crédit.
We follow Brouwer and Ericsson (1998) approach in order to estimate a mark-up model of price over... more We follow Brouwer and Ericsson (1998) approach in order to estimate a mark-up
model of price over unit costs in Morocco from 1997q1 to 2013q2. This kind of models assumes that
the equilibrium price level is set as a markup on some combination of input prices. Therefore, by
estimating the short-run and long-run price elasticities with respect to unit labor costs and import
prices, it’s possible to calculate the impact of supply shocks related to production costs. This treatment
of price dynamics is at the heart of the modern approach to modelling inflation, both for forecasting
and for policy analysis. The mark-up model identified in this paper highlight the fact that unit labor
costs and import prices are key factors in the price setting strategy of the Moroccan firms.
Working paper, 2019
This paper investigates the impact of monetary policy on firms’ liability structure depending on ... more This paper investigates the impact of monetary policy on firms’ liability structure depending on their specific characteristics (size, age, profit, and collateral) over the period 2010 to 2016 using firm-level data. Our results provide evidence that firms borrowing tend to decrease after a
restrictive monetary policy, in line with the traditional interest rate channel. We confirm that small and medium firms are more significantly affected by tight monetary policy conditions than large firms, suggesting the existence of the balance sheet channel in Morocco.
Bank Al-Maghrib Working paper series, 2018
We investigate the relationship between monetary policy decisions and retail lending rates using ... more We investigate the relationship between monetary policy decisions and retail lending rates using retail bank interest rates extracted from the quarterly survey conducted by Bank Al-Maghrib. The data covers the rates of new business loans for four market segments (real estate, short-term credit facilities and overdrafts, investment and consumption) broken down by institutional sector (households, non-financial firms and individual entrepreneurs) between 2006Q2 and 2017Q2. We examine the interest rate pass-through mechanism and the speed of adjustment using heterogeneous panel cointegration framework. Our findings suggest that there is a high degree of pass-through heterogeneity over bank products. The long-term pass-through for real estate and investment loans is complete. We reject the completeness hypothesis for short-term credit facilities and consumption loans. Corporate loans are priced more competitive than household and individual entrepreneur products. We find evidence of a homogeneous pricing policy in the
long-run, however, the speed of adjustment and the mark-up seem to be heterogeneous across banks depending on their financial structure.
The objective of this study is to evaluate the monetary policy transmission along the sovereign b... more 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.
La compréhension de la transmission des décisions de politique monétaire présente un enjeu majeur... more La compréhension de la transmission des décisions de politique monétaire présente un enjeu majeur pour les Banques centrales vu qu’elle permet d’informer sur leur capacité à orienter les sphères financière et réelle par le biais des instruments dont elles disposent. Dans cette perspective, ce travail présente une analyse des canaux de transmission de la politique monétaire au Maroc, moyennant d’une part, l’évaluation de l’environnement de mise en œuvre de la politique monétaire, et d’autre part, l’estimation de deux modèles SVAR et NKM permettant de mesurer empiriquement l’amplitude des réactions aux chocs monétaires. L’analyse du cadre institutionnel et de l’environnement macrofinancier révèle qu’en dépit de la persistance d’un certain nombre de rigidités, les réformes engagées durant la dernière décennie ont consolidé les prérequis permettant de renforcer l’effectivité des canaux de transmission. Sur le plan empirique, les résultats ont montré que la politique monétaire est en mesure d’influencer l’évolution des principaux agrégats macroéconomiques notamment via les canaux taux d’intérêt et crédit.
We follow Brouwer and Ericsson (1998) approach in order to estimate a mark-up model of price over... more We follow Brouwer and Ericsson (1998) approach in order to estimate a mark-up
model of price over unit costs in Morocco from 1997q1 to 2013q2. This kind of models assumes that
the equilibrium price level is set as a markup on some combination of input prices. Therefore, by
estimating the short-run and long-run price elasticities with respect to unit labor costs and import
prices, it’s possible to calculate the impact of supply shocks related to production costs. This treatment
of price dynamics is at the heart of the modern approach to modelling inflation, both for forecasting
and for policy analysis. The mark-up model identified in this paper highlight the fact that unit labor
costs and import prices are key factors in the price setting strategy of the Moroccan firms.