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Papers by SAIDI Youssef

Research paper thumbnail of Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

International Journal of Global Energy Issues , 2018

With the recent changes in international financial markets, investors and policy-makers are payin... more With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).

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Research paper thumbnail of Oil supply and demand shocks and stock price: Empirical evidence for some OECD countries

This paper examines the interactive relationships between oil price shocks and stock market in 11... more This paper examines the interactive relationships between oil price shocks and stock market in 11 OECD countries using Vector Error Correction Models (VECM). Considering both world oil production and world oil prices to supervise for oil supply and oil demand shocks, strong evidence of sensitivity of stock market returns to the oil price shocks specifications is found. As for impulse response functions, it is found that the impact of oil price shocks substantially differs along the different countries and that the results also differ along the various oil shock specifications. Our finding suggests that oil supply shocks have a negative effect on stock market returns in the net oil importing OECD countries. However, the stock market returns are negatively impacted by oil demand shocks in the oil importing OECD countries, and positively impacted in the oil exporting OECD countries.

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Research paper thumbnail of Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis

The aim of this paper is to investigate the return and volatility linkages among Moroccan stock m... more The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U.S. and three European countries (France, Germany and U.K.) before and during the financial crisis. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and U.S. markets respectively. Using the estimation results of bivariate VAR-BEKK GARCH model, we analyze the return and volatility spillover effects between the Moroccan market and the other considered markets. The constant conditional correlation (CCC) MGARCH model is also employed to test the restrictive assumption of constant correlation in our data. The identification of break point due to the subprime crisis is made by Lee-Strazicich (2003,2004) and Bai-Perron (1998, 2003) structural break tests. The empirical findings provide clear evidence of stronger linkages between the Moroccan market and the four other considered stock markets have been created during the subprime financial crisis period.

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Research paper thumbnail of Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

International Journal of Financial Markets and Derivatives , 2014

In this paper, we aim at the study of the contagion of the global financial crisis (2007–2009) on... more In this paper, we aim at the study of the contagion of the global financial crisis (2007–2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and US markets, respectively. To measure the degree of volatility comovement, time–varying correlation coefficients are estimated by flexible dynamic conditional correlation (DCC) multivariate GARCH model. We investigate empirical studies using the DCC–GARCH framework to test the contagion hypothesis from US and European markets to the Moroccan one.

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Research paper thumbnail of Étude probabiliste et statistique de modèles conditionnellement hétéroscédastiques non linéaires

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Research paper thumbnail of Stationarity and geometric ergodicity of a class of nonlinear ARCH models

Annals of Applied Probability, 2006

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly statio... more A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and beta\betabeta-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.

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Books by SAIDI Youssef

Research paper thumbnail of Quantitative Tools to Understand and Forecast Commodity Markets

Policy Center For The New South, 2017

Understanding the commodity markets development and dynamics is of first-order importance for the... more Understanding the commodity markets development and dynamics is of first-order importance for the global economy, since they seem to impact the determination of a significant portion of incomes and welfare of both commodity-consuming and commodity-producing nations. Indeed, for many economies, especially developing countries, commodities remain an important source of export earnings, and commodity price volatility has a major impact on their overall macroeconomic performance. Consequently, the relevance of studying how we can improve and expand our knowledge of commodity markets (of crucial importance for both economists and decision makers) has spurred the publication of a vast range of literature, using a large variety of quantitative approaches. Those approaches have employed a broad spectrum of methodologies, from structural to non-structural models. Within this framework, an international workshop was held on September 28, 2016, at the OCP Policy Center in Rabat to discuss the wide development and application of commodity markets and industries models. The present Book, which represent a collaboration between The Faculty of Law, Economics and Social Sciences (Souissi) of Mohammed V University in Rabat, the African Institute of Risk-Management and OCP Policy Center, collects the revised and updated versions of the five papers that were presented at the workshop.

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Conference Presentations by SAIDI Youssef

Research paper thumbnail of Test de changement de régimes dans des séries financières par un modèle conditionnellement hétéroscédastique à seuil endogène

Conference Paper -SFDS, France, 2015

En finance, les modèles autorégressifs conditionnellement hétéroscédastiques (ARCH), et leurs nom... more En finance, les modèles autorégressifs conditionnellement hétéroscédastiques (ARCH), et leurs nombreuses extensions se sont avérés être des instruments très efficaces. Une nouvelle classe de modèles conditionnellement hétéroscédastiques non linéaires, introduite dans Saïdi (2003) et Saïdi et Zakoïan (2006), fait dépendre la volatilité de la position relative des innovations passées. Cette dernière se rattache aux extensions précédentes par l'existence de plusieurs régimes. Dans ce papier, nous proposons une méthode de test de changement de régime dont la construction repose sur la nouvelle classe de modèles introduite par Saïdi (2003) et Saïdi et Zakoïan (2006), et inspirée de la méthode développée par Tsay (1989) pour les modèles autorégressifs à seuils. Ensuite, nous testons la présence de la modification des régimes de volatilité dans le rendement de l'indice boursier CAC 40 en utilisant le modèle proposé. Mots-clés. Modèles ARCH, modèles à seuils, séries temporelles non linéaires, test de changement de régimes, maximum de vraisemblance.

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Research paper thumbnail of Oil price shocks and OECD equity markets: distinguishing between supply and demand effects

International Journal of Global Energy Issues , 2018

With the recent changes in international financial markets, investors and policy-makers are payin... more With the recent changes in international financial markets, investors and policy-makers are paying special attention to the relationship between oil price shocks and equity markets. This paper investigates how oil supply and oil demand shocks interact with OECD countries and macroeconomic variables within a cointegration vector error correction framework, which provides extreme flexibility with a parsimonious specification. By defining oil supply and oil demand shocks as endogenous variables, our proposed model allows us to gauge the shock transmission among the system variables through time and investigate the direct and indirect connections between oil price shocks and stock returns. We are also able to observe the long-run relationship between real stock prices and real oil prices measured by world and local prices. Our empirical findings show that the impact of oil price shocks substantially differs among the countries and that the significance of the results differs among the oil price specifications (real national oil price, world oil price, supply shocks and demand shocks).

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Oil supply and demand shocks and stock price: Empirical evidence for some OECD countries

This paper examines the interactive relationships between oil price shocks and stock market in 11... more This paper examines the interactive relationships between oil price shocks and stock market in 11 OECD countries using Vector Error Correction Models (VECM). Considering both world oil production and world oil prices to supervise for oil supply and oil demand shocks, strong evidence of sensitivity of stock market returns to the oil price shocks specifications is found. As for impulse response functions, it is found that the impact of oil price shocks substantially differs along the different countries and that the results also differ along the various oil shock specifications. Our finding suggests that oil supply shocks have a negative effect on stock market returns in the net oil importing OECD countries. However, the stock market returns are negatively impacted by oil demand shocks in the oil importing OECD countries, and positively impacted in the oil exporting OECD countries.

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Research paper thumbnail of Return and Volatility Spillovers in the Moroccan Stock Market During The Financial Crisis

The aim of this paper is to investigate the return and volatility linkages among Moroccan stock m... more The aim of this paper is to investigate the return and volatility linkages among Moroccan stock market with that of U.S. and three European countries (France, Germany and U.K.) before and during the financial crisis. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and U.S. markets respectively. Using the estimation results of bivariate VAR-BEKK GARCH model, we analyze the return and volatility spillover effects between the Moroccan market and the other considered markets. The constant conditional correlation (CCC) MGARCH model is also employed to test the restrictive assumption of constant correlation in our data. The identification of break point due to the subprime crisis is made by Lee-Strazicich (2003,2004) and Bai-Perron (1998, 2003) structural break tests. The empirical findings provide clear evidence of stronger linkages between the Moroccan market and the four other considered stock markets have been created during the subprime financial crisis period.

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Research paper thumbnail of Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

International Journal of Financial Markets and Derivatives , 2014

In this paper, we aim at the study of the contagion of the global financial crisis (2007–2009) on... more In this paper, we aim at the study of the contagion of the global financial crisis (2007–2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and US markets, respectively. To measure the degree of volatility comovement, time–varying correlation coefficients are estimated by flexible dynamic conditional correlation (DCC) multivariate GARCH model. We investigate empirical studies using the DCC–GARCH framework to test the contagion hypothesis from US and European markets to the Moroccan one.

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Research paper thumbnail of Étude probabiliste et statistique de modèles conditionnellement hétéroscédastiques non linéaires

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Stationarity and geometric ergodicity of a class of nonlinear ARCH models

Annals of Applied Probability, 2006

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly statio... more A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and beta\betabeta-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Quantitative Tools to Understand and Forecast Commodity Markets

Policy Center For The New South, 2017

Understanding the commodity markets development and dynamics is of first-order importance for the... more Understanding the commodity markets development and dynamics is of first-order importance for the global economy, since they seem to impact the determination of a significant portion of incomes and welfare of both commodity-consuming and commodity-producing nations. Indeed, for many economies, especially developing countries, commodities remain an important source of export earnings, and commodity price volatility has a major impact on their overall macroeconomic performance. Consequently, the relevance of studying how we can improve and expand our knowledge of commodity markets (of crucial importance for both economists and decision makers) has spurred the publication of a vast range of literature, using a large variety of quantitative approaches. Those approaches have employed a broad spectrum of methodologies, from structural to non-structural models. Within this framework, an international workshop was held on September 28, 2016, at the OCP Policy Center in Rabat to discuss the wide development and application of commodity markets and industries models. The present Book, which represent a collaboration between The Faculty of Law, Economics and Social Sciences (Souissi) of Mohammed V University in Rabat, the African Institute of Risk-Management and OCP Policy Center, collects the revised and updated versions of the five papers that were presented at the workshop.

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Test de changement de régimes dans des séries financières par un modèle conditionnellement hétéroscédastique à seuil endogène

Conference Paper -SFDS, France, 2015

En finance, les modèles autorégressifs conditionnellement hétéroscédastiques (ARCH), et leurs nom... more En finance, les modèles autorégressifs conditionnellement hétéroscédastiques (ARCH), et leurs nombreuses extensions se sont avérés être des instruments très efficaces. Une nouvelle classe de modèles conditionnellement hétéroscédastiques non linéaires, introduite dans Saïdi (2003) et Saïdi et Zakoïan (2006), fait dépendre la volatilité de la position relative des innovations passées. Cette dernière se rattache aux extensions précédentes par l'existence de plusieurs régimes. Dans ce papier, nous proposons une méthode de test de changement de régime dont la construction repose sur la nouvelle classe de modèles introduite par Saïdi (2003) et Saïdi et Zakoïan (2006), et inspirée de la méthode développée par Tsay (1989) pour les modèles autorégressifs à seuils. Ensuite, nous testons la présence de la modification des régimes de volatilité dans le rendement de l'indice boursier CAC 40 en utilisant le modèle proposé. Mots-clés. Modèles ARCH, modèles à seuils, séries temporelles non linéaires, test de changement de régimes, maximum de vraisemblance.

Bookmarks Related papers MentionsView impact