Scientific Research An Academic Publisher. The financial crisis of the subprime has shocked the whole world for almost seven years. The magnitude and urgency of this crisis have taken a few States across the world by surprise. In order to remedy the deterioration of the economic situation of not bad savings, some economies have taken precautionary measures by the adoption of macro prudential policies for economic recovery. In addition, it may also be noted the attempt to massive injection of funds to bail out the financial systems of some of the countries of the euro area. Despite these attempts, a crisis of confidence without precedent shakes up to present the world economy.
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Scientific Research An Academic Publisher. The financial crisis of the subprime has shocked the whole world for almost seven years. The magnitude and urgency of this crisis have taken a few States across the world by surprise. In order to remedy the deterioration of the economic situation of not bad savings, some economies have taken precautionary measures by the adoption of macro prudential policies for economic recovery.
In addition, it may also be noted the attempt to massive injection of funds to bail out the financial systems of some of the countries of the euro area. Despite these attempts, a crisis of confidence without precedent shakes up to present the world economy.
The international market is also marked by the financial globalization on the one hand and the debt crisis in the euro area. On the other hand, Greece was the first to dive in this crisis of the countries of the zone Med with trading partners of the euro area are found then in full crisis amplified by the possible repercussions of the Arab Spring. The channel of the exchange rate and net exports of each country of the Euro-Med zone plays an important role in the way in which monetary policy affects the economy of each of the countries of the area.
This has led us to question on the current situation of these economies. What is the impact of the crisis on the channel of the exchange rate?
Are the effects of monetary policy well transmitted to the real sphere? What is the impact of this crisis on the most affected countries of the euro area to know the Greece, Italy, Spain and Portugal? What is also the impact on the countries of the zone Med the more vulnerable to the crisis, including that of Tunisia and Egypt? The second section immerses us in the assessment of the magnitude of current misalignments of the exchange rate and the determination of the exchange rate behavioral our sample formed by 6 countries of the Euro-Med zone.
The third section considers a non-linear model to settings in the variables in the time in order to benefit from a more rigorous analysis of the impact of the crisis on the channel of the exchange rate in a context of financial instability.
Effects of the monetary policy differ from one country to another for various reasons. We are interested at the time of our research to identify specificities of the transmission channels of exchange rate of the monetary policy in the case of six countries of the zone Euro-Med like Tunisia, Egypt, Italy, Portugal, Greece and Spain.
The models VAR became increasingly popular since the criticism of  brought to the approach of the simultaneous equations. However, the form standard VAR is a reduced form of the model and the economic interpretation of the results is often impossible, unless the reduced form of the VAR dependent on the economic model. When the economic theory provides a link between the errors envisaged and the fundamental shocks, the model which results from it calls a SVAR. However, the models of this kind are regarded as an important tool in the economy and are used to analyze certain effects by which we can quote the effects of the monetary shocks    , effects of the technological shocks and effects of the tax shocks .
These shocks can be expressed in term of structural VECM form. To analyze the effect of the structural shocks, we will need to identify K 2 the elements of A 0. Thus, we will have interest to identify the restrictions on economic theory. To do this, we use the following relationship:. We estimate a model of six variables which includes two objective variables to know the index of production as a proxy of GDP and inflation, three key variables of transmission of the exchange rate channel and its determinants to know the real exchange rate, the export, import and the rate of the monetary market TMM variable key instrument of monetary policy.
This model is re estimated to 6 times since we have a sample formed by 6 countries of the Euro- Med zone namely Tunisia, Egypt, Italy, Portugal, Greece and Spain. Data are taken of monthly frequencies converted into million dollars constant and a logarithmic transformation was applied to them. These variables were collected of the International Monetary Fund.
Estimation was made by software J-Multi and results relating to this method are introduced in the Appendix A. In fact, the structural approach has been extended nothing that to capture the maximum of information on the fluctuations of the actual variables reflecting the reality of the economies. In addition, the SVECM model can be used in the determination of the effect of monetary policy shocks as it is the case of this first section. The relevance of these models lies in the way to provide the economist the possibility to broaden the scope of observation of the fluctuations of actual data within an economic theory .
These confirm the strong clearly stipulating that all the series are integrated of order one, i. The structure of identification and the imposition of restrictions are based on the different monetary criteria of each country and the various conditions econometric evidence. To study the long-term relations between the variables, we have resorted to the two tests for cointegration to know the test of Johansen and Juselius and the test of Saikonnen and Lutkepohl.
Consequently, like  or  , we have chosen to conduct our estimates on the variables in level. We are interested in a first time to identify the responses of objective variables, the exchange rate, exports and imports as a result of a shock of monetary policy.
Subsequently, we observe the responses of a shock of the exchange rate on the whole of the variables of the model in order to detect the impact of the change in the exchange rate on the latter. An overall look on the response functions of all the systems of the four countries of the euro area explored in Appendix A highlights some important lessons learned from Figures First of all, if we rely on only estimates having recourse to the index of production, our estimates come in the whole confirm a result replied extensively in the literature, namely the modest contribution of the canal of the rate of interest.
In a flexible exchange rate regime, the effects of the interest rate channel are amplified by the channel of the exchange rate because the increase in the rate of interest causes a real appreciation of the exchange rate harmful to the external competitiveness.
It is essential to indicate that we use the exchange rate quoted to the uncertain, in other words: 1 dollar for our case for Z units of the currency of the country considered TND, Egyptian Pounds or Euro. Therefore, when the exchange rate is increasing resp. On the other hand, and in a flexible exchange rate regime and with international mobility of capital, a decline in the rate of interest is translated, all things being equal, by a depreciation of the real effective exchange rate of the currency.
This devaluation causes a drop in the prices of products intended for export, which increases the external demand and raises the local firms to produce more. Our results are in agreement with  , we find both in the short and the long-term a remarkable difference in the direction of variation and in the magnitude of the response of the output and the rate of inflation. These latest objective variables react with a magnitude more important for the Tunisian context only in the short term.
The results are perfectly in perfect agreement with the work of Hachicha and Chaabane   , which according to the monthly data in a first opportunity and annual in a second prove that the channel of the exchange rate plays a role almost absent in the amplification of the actions of the monetary policy in the case of Tunisia.
It is the channel that has a weak contribution of the macroeconomic stability of the Tunisian economy. Nevertheless, the study of the impulse is not a simple thing to the extent where according to Mishkin   production is in decline as a result of the decline in the investment.
These are the basic concepts of the macroeconomics traditional. However,  and  assert that the drop in the level of activity can lower or increase the demand for credit. It results in difficulties to deduct the sign of the variation of the investment, and this is not automatically a decline. What we have just to elucidate is part of those who speak of the macroeconomics New based on the foundations of the modern macroeconomics  , but the observation of the effect mystery and amazing phenomenon affecting primarily the price is possible.
The exchange rate is one of the instruments of adjustment of monetary policy. One of the major challenges facing most of the empirical work of our days is the determination of the degree of misalignments of the exchange rate. In fact, the difficulty lies in the determination of the equilibrium level of the real exchange rate. The objective of this second section is to describe the periods of overvaluation and under evaluation in order to detect the magnitude of current misalignments and to determine the exchange rate behavioral.
Our second method of assessment is based on equilibrium exchange rate behavioral method. This last has been initiated by   . This method has the advantage of making account of the evolution of a theoretical model of exchange rates in order to measure the equilibrium exchange rate and identify potential misalignments of the exchange rate.
According to the approach of the exchange rate advanced behavioral by Mac Donald under the assumption of rational expectations, the current exchange rate is as follows:.
In order to estimate the equilibrium exchange rate behavioral, we need to identify the main determinants of the exchange rate. These will be used as the variables to introduce in a model VECM. This parity establishes that the difference between the anticipation of the exchange rate and the spot exchange rate is related to the difference between the rate of interest is domestic and the rate of interest abroad:.
The domestic real interest rate is defined as the difference between the nominal interest rate and the rate of inflation of each country of our sample. Otherwise, the foreign real rate of interest abroad is defined as the difference between the nominal interest rate and the rate of inflation in the euro area since the trading partners of each country of study are already part of the euro area.
The usefulness of integrating this rate in the analysis comes from the developed countries to . Among the latter, the devaluation of the real exchange rate is mainly due to the increase in the degree of openness of the economy. Thus, the rate of openness enables us to calculate the level of the external constraint. It may play a role in amplifying the impact of shocks to real exchange rates. The rate of coverage is an indicator that measures the economic independence of each country.
Recently,  have integrated this rate in their model to determine the misalignments of the exchange rate and to study the persistence of inflation for the countries of Latin America.
This rate is calculated for all the countries of our sample with the exception of Portugal which denotes a null value of imports throughout the duration of the analysis. The productivity variable allows you to capture the Balassa-Samuelson effect of the countries of our study, that is to say the trend in the relative price of tradable goods in relation to the non-tradable. Generally, productivity is measured by the ratio of GDP per capita in each country of our study on the GDP per capita of the euro zone since we assume in this analysis that the trading partners of each country of study are already part of the euro area.
I P i et I P z e u r o represent respectively the index of production for each of the countries of our study and the production index of the euro area. This model is re estimated for each country of our sample. A number of pre-testing are associated with the estimation of the VECM.
The test for cointegration proves the existence of three long-term relationship between the exchange rate and the variables selected. The results relating to the first method are explored in Appendix B. The graph of the misalignments explored in Figure 11 for the case of the Tunisia shows that the Tunisian dinars is globally under assessed on the whole of the period.
In effect, there is very little period of overvaluation especially during the month of August , the month of September and the month of June By contrast, we note several date of depreciation of the national currency in October , April , November , January , April , October , January , March , July and March The evolution of the exchange rate translates this fact by important misalignments especially in term of gap at the level of balance.
Figures in blue presented in the Appendix B denote well an attempt of rectification of floating exchange rate by the equilibrium exchange rate behavioral. Figure 12 shows a difficulty of rectification of this equilibrium for the case of Egypt. In the long term, the progressive liberalization of capital movements will require greater flexibility of the exchange rate in the case of Tunisia and Egypt.
This movement must be gradual and be accompanied by the strengthening of the institutions of economic policies. The graph of the misalignments for the case of Egypt proves that the Egyptian pound is broadly overstated on the whole of the period. In effect, there is very little period of under-evaluation, notably during the month of October , the month of April and October of the year and By contrast, we note several date of appreciation of the Egyptian pound in April , February , September and February The graph of the misalignments for the case of the four countries of study of the euro area is identical in appearance with a clear difference in October , in May and in June of the same year for Italy, Spain, Greece and Portugal see Figures explored in Appendix B.
However the magnitude of the overvaluation and the under evaluation differs from one country to another. The under-evaluation is shrinking differently and is unable to join the situation of balance in the same way. The VAR model, proposed by  , became a technique commonly used in the econometric analysis and is adaptable to many approach in economy . In this study, we will use a model of autoregressive vector to settings variables in the time and stochastic volatility TVP-VAR.
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Pharmacy AHMED HACHICHA
Handbook of Financial Econometrics and Statistics