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A DSGE model for macroprudential policy in Morocco

Author

Listed:
  • Chafik, Omar

    (Bank Al-Maghrib, Département de la Recherche)

  • Mikou, Mohammed

    (Bank Al-Maghrib, Département de la Recherche)

  • Slaoui, Yassine

    (Bank Al-Maghrib, Département de la Recherche)

  • Motl, Tomas

    (Bank Al-Maghrib, Département de la Recherche)

Abstract
This working paper presents a DSGE model for macroprudential analysis in Morocco. The model has been calibrated to match stylized facts of the Moroccan financial sector and can be used for macroprudential policy analysis, scenario building, or stress-testing. The model provides a top-down perspective on the financial sector stability, complementing the more traditional financial supervision tools currently in use at Bank Al-Maghrib. The paper describes the model structure and highlights its features that make it suitable for the analysis of macroprudential issues– strong role of nonlinearities, endogenous macro-financial feedback loops, and explicit description of the aggregate bank balance sheet. The paper presents three simulations to illustrate key transmission mechanisms: (i) Macroeconomic impact of an increase in equity capital; (ii) The role of capital flows sensitivity to capital buffers building requirement and (iii) The Impact of the COVID-19 crisis on the banking sector.

Suggested Citation

  • Chafik, Omar & Mikou, Mohammed & Slaoui, Yassine & Motl, Tomas, 2022. "A DSGE model for macroprudential policy in Morocco," Document de travail 2022-3, Bank Al-Maghrib, Département de la Recherche.
    • Handle: RePEc:ris:bkamdt:2022_003
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    References listed on IDEAS

    as
    1. Claudio Borio, 2014. "The financial cycle and macroeconomics: what have we learned and what are the policy implications?," Chapters, in: Ewald Nowotny & Doris Ritzberger-Grünwald & Peter Backé (ed.), Financial Cycles and the Real Economy, chapter 2, pages 10-35, Edward Elgar Publishing.
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    4. Hinterschweiger, Marc & Khairnar, Kunal & Ozden, Tolga & Stratton, Tom, 2021. "Macroprudential policy interactions in a sectoral DSGE model with staggered interest rates," Bank of England working papers 904, Bank of England.
    5. Mr. Jaromir Benes & Mr. Michael Kumhof & Mr. Douglas Laxton, 2014. "Financial Crises in DSGE Models: Selected Applications of MAPMOD," IMF Working Papers 2014/056, International Monetary Fund.
    6. Borio, Claudio, 2014. "The financial cycle and macroeconomics: What have we learnt?," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 182-198.
    7. Mr. Tobias Adrian & Mr. James Morsink & Miss Liliana B Schumacher, 2020. "Stress Testing at the IMF," IMF Departmental Papers / Policy Papers 2020/001, International Monetary Fund.
    8. T. Bennani & C. Couaillier & A. Devulder & S. Gabrieli & J. Idier & P. Lopez & T. Piquard & V. Scalone, 2017. "An analytical framework to calibrate macroprudential policy," Working papers 648, Banque de France.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Macroprudential-policy; Macroeconomic-modeling; Morocco-Financial sector;
    All these keywords.

    JEL classification:

    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    NEP fields

    This paper has been announced in the following NEP Reports:

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