Browsing by Author "Si Mohammed, Kamel"

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    Foreign exchange market contagion: evidence of DCC and DECO Multivariate GARCH Models
    (Université de M'sila, 2016-06-30) Si Mohammed, Kamel
    The goal of this study is to measure contagion phenomenon between foreign exchange markets during Subprime crisis & Euro-Zone crisis using daily data from 03/01/2005 to 03/09/2015 for twenty selected countries. In our analysis, we use the FMI classification of exchange rate arrangements for each estimation period. We also separated an estimation period in two period’s crises. estimate into two crises periods. Firstly, the US Subprime crisis period that covers the period from 17/07/2007 through 31/08/2009 (See Dungey, 2009, Celik, 2012), and secondly, the period span of the Euro-zone crisis that goes from 19.11.2009 to 31.12.2012 (See Wasim. A et al 2013).The model we use in this study is a Dynamic Equicorrelation GARCH model of Engle and Kelly (2012) and DCCGARCH model of Engle (2002). In summary, we conclude that all exchange rates returns series are influenced by the contagion effects come from USA and euro area over 2007-2012 periods. Moreover, we observe that the mean Dynamic conditional correlation of the multivariate GARCH increase in financial and Euro zone crises compared to the pre-crisis period. In addition to that, we conclude that persistent volatility has been high in countries adopting free floating exchange rates compare the countries they supported managed floaters, hard and soft begs exchange rate regimes.
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    The relationship between democracy and corruption in MENA countries
    (Université de M'sila, 2016-12) Si Mohammed, Kamel
    The goal of this study is to investigate the relationship between democracy and corruption using a Dynamic Generalized Method of Moments (DGMM) during the period 1984-2013 in 13 MENA countries namely Algeria, Bahrain, Egypt, Iraq, Iran, Kuwait, Lebanon, Morocco, Qatar, Saudi Arabia, Tunisia, Turkey and United Arab Emirates.Our results captured the GDP per capita is feed corruption in MENA countries, while one percent of per capita GDP rise corruption about 0.73 and lead to lose more than 0.23 in MENA net oil and gas exporting countries except United Arab Emirates (See Omgba (2015); Haber and Menaldo (2011)). In this context, magnitude of impacts in countries non-oil producers is less dependent with corruption over the last decade compared the two early decades and compares an oil and gas exporting countries. Thus,the high income states of the oil exporting countries would not have been decreased corruption level, (See Jetter (2015), Rachdi and Saidi (2014)). Finally, our finding present a positive significantly associated between democracy and corruption, the influence of positive feedback around about 0.5 points in regressors. According to this estimation, the lower democratization process in MENA countries highly depends to high levels of corruption