Early warning models for financial crisis in the Covid19 era: Guidelines for an effective interception in Morocco and Egypt
DOI:
https://doi.org/10.14666/2194-7759-11-1-004Keywords:
Crisis detection, Markov switching regime, Foreign exchange, COVID 19Abstract
This article provides a couple of models for financial crisis detection better to intercept early signals for Moroccan and Egyptian FX Markets. Using publicly available monthly data and a Markov autoregressive switching model, we suggested two models containing the most relevant variables for each country. The results show the Moroccan case model’s outstanding detection ability as it revealed both endogenous and exogenous occurring during the study period. On the other hand, even though the Egyptian case model showed promising results, it failed to spot significant disturbances due to various economic and domestic monetary policy issues.
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