Template-Type: ReDIF-Article 1.0
Author-Name: Mohammed Hassan ALAOUI
Author-Email: hassan.alaoui@um5r.ac.ma
Author-Workplace-Name: Faculty of Law, Economics and Social Sciences of salé, Mohamed V University, Rabat, Morocco
Author-Name: Outmane Noufail  SOUSSI
Author-Email: n.soussi@um5r.ac.ma
Author-Workplace-Name: Faculty of Law, Economics and Social Sciences of salé, Mohamed V University, Rabat, Morocco
Title: Role of the information content of the Moroccan treasury securities real yield curve in forecasting the future economic situation in Morocco
Abstract: This study aims to investigate the role of the slope of the real interest rate curve of treasury securities in predicting the future economic situation in Morocco. Economic theory suggests that the slope of rates can be explained by three factors: the effects of monetary policy, expectations of monetary policy, and the intertemporal smoothing of consumption. Our theoretical model focuses on the latter explanation, suggesting that households aim to maintain a constant level of consumption, regardless of fluctuations in interest rates and the economic situation. To examine this relationship, we constructed a regression model that includes several lagged financial and/or monetary explanatory variables, such as real interest rates. This analysis utilizes quarterly data from 2007 to 2023. Our results underscore the importance of the information embedded in the structure of real interest rates, particularly the spread of real interest rates, for analyzing and forecasting future economic growth in Morocco.   Keywords: Moroccan yield curve, spread, economic forecast JEL Codes : C50, E43, E52, E58. Paper type: Empirical research.
Journal: International Journal of Accounting, Finance, Auditing, Management and Economics
Pages: 24-41
Volume: 5
Issue: 7
Year: 2024
File-URL: https://ijafame.org/index.php/ijafame/article/view/1518
File-Format: text/html
File-URL: https://ijafame.org/index.php/ijafame/article/view/1518/1517
File-Format: application/pdf
Handle: RePEc:aoa:journl:v:5:y:2024:i:7:p:24-41