Benbouziane Mohamed

Doctorat d'Etat (PhD) Finance
4.37

Publications

  • Benbouziane Mohamed
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    ABSTRACT: This paper revisits the impact of news on the determination of exchange rates. In fact we will be presenting an analysis and discussions for testing the Efficient Markets Hypothesis (EMH) using a news format and using Cointegration methodology. However, before presenting the results some useful points should be considered in order to carry out the analysis of this study. Accordingly, section 2 of this paper gives some restrictions of cointegration techniques when it is used for models that have more than two variables. The variables that we will be using in this analysis are defined in section 3. Section 4 provides the source and period of database used. The test results are given in section 5. The implications of including cointegrated variables will be discussed in section 6, mainly the issues of purchasing power parity, covered and uncovered interest parities. Finally some concluding remarks are drawn up.
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    ABSTRACT: The essential activity of a manager is decision making, which is becoming more and more complex, mainly in the multi-criteria problems. Multi-choice goal programming (MCGP) is considered as a robust tool in operational research to solve this type of problem. However, in real world problems, determining precise targets for the goals is a difficult task. To deal with such situation, Tabrizi introduced and used in 2012 the concept of membership functions in the MCGP model in order to model the targets fuzziness of each goal. In their model, they considered just only one type of functions (triangular form), which does not reflect adequately the decision maker's preferences that are considered as an essential element for modelling the goal's fuzziness. Their model is called Fuzzy MCGP. In this paper, new ideas are presented to reformulate MCGP model to tackle all types of functions by introducing the (decision maker's) preferences. The concept of indifference thresholds is used in the new formulation for characterizing the imprecision and the preferences associated with all types of the goals. The proposed formulation provides useful insight about the solution of a new class of problems. A numerical example is given to demonstrate the validity and strength of the new formulation. Copyright © 2013 John Wiley & Sons, Ltd.
    Journal of Multi-Criteria Decision Analysis 05/2014; 21(3-4). DOI:10.1002/mcda.1511
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    Mohamed Benbouziane, ABDELHAK BENAMAR
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    ABSTRACT: The main objective of this paper is to test for the possibility of an optimal currency area (OCA) in the six Gulf countries (namely: Saudi Arabia, Bahrain, Qatar, Kuwait, Oman, and United Arab Emirates (UAE)). To constitute such an OCA, however, they must satisfy certain preconditions; i.e., they must have similar economic structures with exposure to symmetric shocks, they must be open, well-diversified economies, and they must also ensure a high degree of factor mobility. The objective of this paper is to assess the degree to which the Gulf Cooperation Council (GCC) meet the requirements of an OCA. Annual and quarterly data are used in our analysis. Using a multivariate threshold autoregression (MVTAR) model and generalized response functions, the main results are that the GCC countries should be divided, as far as the symmetry of the shocks is concerned, into two sub-groups. The first consists of UAE, Oman, and Bahrain and the second consists of Saudi Arabia, Qatar, and Kuwait. Thus, the main implication is that the GCC countries are still far away from an OCA. The success of such a union is conditional on a lot of measures including the removal of domestic and cross-border distortions that are regarded as a hamper to trade and foreign investments, the coordination of national policies that ensure macroeconomic stability, the deepening of regional integration, the development of the nonoil economy, and realization of a large degree of political integration.
    02/2014; 02(02):203-227. DOI:10.1142/S179381201000023X
  • Mustapha Djennas, Mohamed Benbouziane, Meriem Djennas
    02/2013; 2(1). DOI:10.17010/aijer/2013/v2i1/54497
  • Benbouziane Mohamed, sefiane slimane
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    ABSTRACT: This paper proposes a meta-heuristic ant colony optimization method to solve the portfolio optimization problem. The objective is to maximize the portfolio return and to minimize the portfolio risk simultaneously. To do so, the optimization problem is formulated as a total cost function to be minimized. The computational results on an example of five (05) stock portfolios not only show that the proposed method is capable and effective in finding the optimum portfolio return with the minimum of risk but also provides better solutions than another meta-heuristics based on genetic algorithms with respect to convergence time and efficiency. Keywords: Meta-heuristics Optimization Methods, Ant Colony Optimization Method, Multi-objective, Portfolio Optimization.
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    Meriem Djennas, Mohamed Benbouziane, Mustapha Djennas
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    ABSTRACT: In today's global market, reaching a competitive advantage by integrating firms in a supply chain management strategy becomes a key success for any firm seeking to survive in a complex environment. However, as interactions among agents in the supply chain management (SCM) remain unpredictable, simulation appears as a powerful tool aiming to predict market behavior and agents' performance levels. This paper discusses the issues of supply chain management and the requirements for supply chain simulation modeling. It reviews the relationships amongArtificial Intelligence (AI) and SCM and concludes that under some conditions, SCM models exhibit some inadequacies that may be enriched by the use of AI tools. This approach aims to test the supply chain activities of nine companies in the crude oil market. The objective is to tackle the issues under which agents can coexist in a competitive environment. Furthermore, we will specify the supply chain management trading interaction amongagents by using an optimization approach based on a Genetic Algorithm (AG), Clustering and Fuzzy Logic (FL).Results support the view that the structured model provides a good tool for modeling the supply chain activities using AI methodology.
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    Meriem Djennas, Mohamed Benbouziane, Mustapha Djennas
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    ABSTRACT: This paper examines the effects of macro-financial vulnerabilities on economic downturns in North Africa and GCC countries based on a Financial Stress Index (FSI). The paper identifies episodes of financial turmoil according to FSI values, and proposes an analytical framework to assess the impact of financial stress on the economic downturn by using two approaches; a Cost-sensitive learning neural network and a Markov-switching time-varying model. It concludes that episodes of financial stress can be identified clearly by the two methods in a cooperative but not competitive way.
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    Ishaq Hacini, Khadra Dahou, Mohamed Benbouziane
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    ABSTRACT: The study investigates the mutual funds investment style in the Jordanian context. It uses monthly returns of five mutual funds from July 2000 to December 2009. To do so, it employs the 4-factors model with explanatory variables the market portfolio return, a small minus large capitalization indicator variable, a high minus low book-to-market indicator variable, and a variable that account for momentum effect. These factors are used as benchmarks to investigate the investment style. The results indicate that mutual funds returns tend to follow those of the market portfolio. In terms of investment style, mutual funds managers tend to favor small capitalization stocks, past winners stocks, and low book-to-market ratio stocks, respectively.
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    Meriem Djennas, Mohamed benbouziane, mustapha Djennas
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    ABSTRACT: Introduction The North Africa (NA) region is rich in natural and human resources, labor, and population. Its countries vary, in some cases considerably, in economic size, population, the balance between the public and private sectors, and financial and natural resources. However, the economic performance of countries in the NA region has been much contrasted over the period 1980-2007. To face this challenge, countries in the region have radically changed their economic policy since the mid-eighties. Several countries in the region have made significant progress in adjustment and reform, and are qualified to be catching-up with developed countries. The adoption of structural adjustment programs recommended by the IMF, have led the NA countries to turn to more favorable market policies. However, the turmoil and political instability facing the region slows the transition of these countries towards more open and liberal economies where the private sector would play an important increasingly role. Performance evaluation of these countries in terms of incomes convergence has been less studied. The aim of this paper is therefore to evaluate the process of convergence of per capita income of NA countries toward that of Southern European countries and to identify the existence and the persistence of convergence clubs. If there are convergence clubs, then an important question is to know what levels of per capita income, the countries converge. This paper complements previous works by trying to differentiate between countries in the NA region in terms of behavior of convergence or divergence. The aim of this paper is to compare the economic performance of NA countries to Southern Europe (Spain, Greece and Portugal) in analyzing the process of convergence of per capita incomes between these two zones. The income level of the European Union seems a potential target to which the income of countries in the NA region could converge because the EU is their main trading partner and we assist to the development of trade liberalization agreements Euro-Med. To avoid biased conclusions in favor of rejecting the hypothesis of convergence, it seems wise to use Southern European countries as a benchmark for long-term income of countries in the NA region. We used tests of sigma-convergence and the approach of convergence clubs based on polynomial functions to assess the convergence process. The first originality of our approach is to use the methodology of convergence clubs of Chatterji (1992) to test the phenomenon of convergence of 6 countries in the NA region (Algeria, Tunisia, Morocco, Egypt, Libya, Mauritania) towards the average income level of countries in Southern Europe (Spain, Greece and Portugal) over the period 1980-2007. 1 The second originality of this paper concerns applying the tests of breaks of Bai & Perron (2003) on the problem of sigma-convergence. According to our results, the process of sigma-convergence is not uniform over time. The remainder of the paper is organized as follows: In the second section, we propose an overview of the economic growth in the NA region. In the third section, we present the various hypothesis tests of convergence. The fourth section is devoted to comments of all of our empirical results. Finally, the conclusion and possible extensions are listed in the fifth section. North Africa Countries: An Economic Overview of the Region 1 Chatterji & Dewhurst (1996) uses this methodology to evaluate the existence of convergence clubs in the different regions of Great Britain and Zhang (2003) in East Asia region.
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    ABSTRACT: This paper deals with a very important topic and assiduously renewed, mainly ''The determination of exchange rates,'', we propose to study this issue for the case of Algeria where we try to model the behavior of the exchange rate of the dinar against major currencies in the foreign exchange market, the U.S. dollar, euro, pound sterling and Japanese yen using a series of daily quotations over the period (2000-2007) using ARFIMA models. These latters are characterized by their ability to model both long term and short term behavior. . Using the method of maximum likelihood, the study reveals the existence of long memory phenomenon for two sets out of the four studied, and finally, in the wake of Meese and Rogoff [1983], Sarno and Taylor [2002], Nelson, West and Kenneth [2007], Mignon and Sardic [1999] and many others we consider the beating of the random walk in forecasting exchange rate as a major criterion for accepting an exchange rates model. Résumé Cet article appréhende une question épineuse et perpétuellement renouveler ''La détermination du taux de change'', on propose d'étudier cette question pour le cas algérien où nous tentons de modéliser le comportement du taux de change du dinar face aux principales monnaies du marché des changes ,le dollar américain, l'euro , le livre sterling et le yen japonais utilisant des séries de cotations quotidiennes sur la période (2000-2007) par les modèles ARFIMA qui se caractérisent par leur capacité à modéliser le comportement de long comme de court terme des séries, pour le faire on utilise la méthode du maximum de vraisemblance, Les résultats obtenus témoignent de la présence d'un certain phénomène de persistance de long terme dans deux séries des quatre étudiées , enfin dans le sillage de International Research Journal of Finance and Economics -Issue 87 (2012) 118 Meese et Rogoff [1983], Sarno and Taylor [2002], Nelson, Kenneth et West [2007], Mignon et Sardic [1999] et bien d'autres, on considère le fait de battre la marche aléatoire dans la prévision comme critère majeur d'acceptation d'un modèle de taux de change. Motsclés: Taux de change, mémoire longue, persistance, anti-persistance, ARFIMA.
    International Research Journal of Finance and Economics 01/2012; 87(ISSN 1450-2887 Issue 87 (2012)):1450-2887.
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    Slimane Sefiane, Mohamed Benbouziane
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    ABSTRACT: The selection of optimal portfolios is the central problem of financial investment decisions. Mathematically speaking, portfolio selection refers to the formulation of an objective function that determines the weights of the portfolio invested in each asset as to maximize return and minimize risk. This paper applies the method of genetic algorithm (GA) to obtain an optimal portfolio selection. However, the GA parameters are of great importance in the procedure of convergence of this algorithm towards the optimal solution such as crossover. While, a five stock portfolio example is used in this paper to illustrate the applicability and efficiency of genetic algorithm method, GA method can also be used however for a larger number of portfolio compositions. The results obtained confirm previous research studies about the validity and efficiency of genetic algorithm in selecting optimal portfolios.
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    A Benamar, N Cherif, M Benbouziane
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    ABSTRACT: Inflation has been the major global economic problem for most economies throughout the world over the last three decades. It affects individuals, businesses and governments. Many competing hypotheses have been advanced in the literature to explain its causes and give the appropriate remedial policies. One of these hypotheses is central to the quantity theory of money. According to this hypothesis, inflation results solely from a maintained expansion of the money stock at rates in excess of increases in the amount of money demanded in the economy. The paper examines the money-price relationship in the Three Maghreb countries (namely Algeria, Morocco and Tunisia) using Granger causality test. The results do not tend to support the quantity theorist's view that money and prices have a long-run relationship, i.e., they do not tend to drift apart in the long run. However, as suggested by Granger (1986) money and prices could still cointegrate if other variables, which may have influenced prices, were included in the cointegration regressions. Second, the finding of a unidirectional causation from money to prices in the case of Morocco and Tunisia is in line with the monetarist's view that money precedes and causes inflation. In fact, this finding supports Darrat's (1986) finding that money causes inflation in Morocco and Tunisia. Thus the monetary authorities in these two countries can consider control of the money supply (M1) or (M2) to influence and control inflation. As suggested by monetarists, this can be best achieved by maintaining a steady rate of growth of the money supply, roughly corresponding to the long-run growth of the real output. Our results also show the apparent absence of causality between money and prices in the case of Algeria which is not easy to explain. A possible explanation may be that the data for the Consumer Price Index (CPI) are not reliable. This may be true given that the prices, which are reported by the authorities, are always lower than those actually paid in the market place.
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    Mohamed Benbouziane, Abdelhak Benamar, Mustapha Djennas
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    ABSTRACT: The objective of this paper is to test for the liquidity effect in Algeria and Morocco using multivariate threshold autoregressive model (MVTAR) as proposed by Tsay (1998). Our empirical results have several important implications. First, results do not support threshold behavior in the case of Algeria. Moreover, when using M1 as a proxy of monetary policy, the liquidity effect hypothesis is rejected in this country. When using bank deposit assets (BDA), results show that there is a negative relationship between monetary shocks and interest rate, and accordingly accepting the liquidity effect. Secondly, in the case of Morocco, however, results show an asymmetric response of interest rate to positive and negative shocks of monetary policy. Moreover, these results strongly support a threshold behavior when BDA is employed, while weakly supporting the same behavior using M1. Furthermore, and using the proxy of bank deposit assets, the liquidity effect are accepted in the low inflation regime, whereas it is rejected in the high inflation regime. Hence, the threshold behavior offers an interesting alternative for explaining the relationship between interest rates and monetary policy shocks. The results presented herein may give more insights on the transmission mechanism of monetary policy in different inflationary environments. Accordingly, a good inflation targeting policy would yield better results in this context. Indeed, the liquidity effect breaks down for the high inflation regime, as inflationary expectations are immediately responsive to money growth. In a low-inflation regime, however, money is not considered to be neutral, as it could affect output through the liquidity effect.
  • Abderrahim Chibi, Mohamed Benbouziane, Sidi Mohamed Chekouri
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    ABSTRACT: This paper focuses on the macroeconomic effects of fiscal policy shocks in Algeria using a Structural Vector Autoregression (SVAR) approach. We use annual data covering 1965-2007 period, the results of the study were as follows: A positive structural shock in the government expenditure will have a positive impact on the real GDP in the short term with very small multiplier, but in the medium and long term have a negative effect on real GDP; lead to important “crowding-out” effects, by impacting negatively on private investment; and have a persistent and positive effect on the price level, consumption and the average cost of financing. A positive structural shock in public revenue would have a positive impact on the size of government spending, the same effect by this shock to real GDP with very small multiplier; have a persistent and negative effect on the price level and the average cost of financing in the medium and long term. For the response of the components of real GDP, there is a positive influence on both the consumption and private investment. These results show that the expansion fiscal policies in Algeria have non-Keynesian effects result of generate crowding-out” effects, and this specification engender the relative ability to influence economic variables as we explicated in Variance decomposition, and therefore there is relative to the effectiveness of such policies in achieving the desired economic goals.
  • Benbouziane Mohamed, Abdelhak Benamar
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    ABSTRACT: The main objective of this paper is to test for the possibility of an optimal currency area (OCA) in the six Gulf countries (namely: Saudi Arabia, Bahrain, Qatar, Kuwait, Oman, and United Arab Emirates (UAE)). To constitute such an OCA, however, they must satisfy certain preconditions; i.e., they must have similar economic structures with exposure to symmetric shocks, they must be open, well-diversified economies, and they must also ensure a high degree of factor mobility. The objective of this paper is to assess the degree to which the Gulf Cooperation Council (GCC) meet the requirements of an OCA. Annual and quarterly data are used in our analysis. Using a multivariate threshold autoregression (MVTAR) model and generalized response functions, the main results are that the GCC countries should be divided, as far as the symmetry of the shocks is concerned, into two sub-groups. The first consists of UAE, Oman, and Bahrain and the second consists of Saudi Arabia, Qatar, and Kuwait. Thus, the main implication is that the GCC countries are still far away from an OCA. The success of such a union is conditional on a lot of measures including the removal of domestic and cross-border distortions that are regarded as a hamper to trade and foreign investments, the coordination of national policies that ensure macroeconomic stability, the deepening of regional integration, the development of the nonoil economy, and realization of a large degree of political integration.
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    ABSTRACT: The main objective of this paper is to test the validity of the purchasing power parity in the North African countries. Earlier studies have used either nonlinear models or Long Memory (ARFIMA) process to look for the unit-root properties of the exchange rate behaviour. While the use of each technique independently can in some cases be favourable for the PPP hypothesis, it has failed in others. This is why recently the joint hypothesis of long memory and stochastic regime switching models has been developed. In fact, empirical evidence has shown that the two modelling techniques can be intimately linked. In this paper we will be using the FISTAR model proposed by van Dijk, Franses and Paap (2002) is order to test the validity of PPP. Several major findings have been raised from our study. The results show that the joint hypothesis of long memory and nonlinearity is not accepted in all our North African exchange rates. In fact, the behaviour is shown to be nonlinear. The results also show that the purchasing power parity could not be accepted in the case of Tunisia. We found that there is no evidence of long memory in the cases of Algeria and Egypt. Moreover, the study has shown that when using ESTAR model alone, this can lead to some misinterpretation of the real exchange rate behaviour in many cases. This is why it is necessary to use the FI-STAR model which would give more information to policy makers to face exchange rate shocks, especially, when these shocks are characterised by a long memory process.
    International Business Research 06/2009; DOI:10.5539/ibr.v2n3p136 · 0.65 Impact Factor
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    Mohamed Benbouziane, Abdelhak Benamar
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    ABSTRACT: This paper calculates indices of central bank autonomy (CBA) for 163 central banks as of end-2003, and comparable indices for a subgroup of 68 central banks as of the end of the 1980s. The results confirm strong improvements in both economic and political CBA over the past couple of decades, although more progress is needed to boost political autonomy of the central banks in emerging market and developing countries. Our analysis confirms that greater CBA has on average helped to maintain low inflation levels. The paper identifies four broad principles of CBA that have been shared by the majority of countries. Significant differences exist in the area of banking supervision where many central banks have retained a key role. Finally, we discuss the sequencing of reforms to separate the conduct of monetary and fiscal policies. IMF Staff Papers (2009) 56, 263–296. doi:10.1057/imfsp.2008.25; published online 23 September 2008
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    Mohamed Benbouziane, Abdelhak Benamar
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    ABSTRACT: The main objective of this paper is to test the validity of the purchasing power parity in the Maghreb countries (namely, Algeria, Morocco and Tunisia). We apply the threshold autoregressive non-linear model (TAR) proposed by Caner and Hansen (2001). First, a review of literature on PPP is presented, analysing its empirical validity and the econometric techniques that have been applied. After that, and investigating for the joint hypothesis of nonlinearity and non-stationarity in the exchange rate behaviour, the TAR model is presented and used for the PPP in the Maghreb countries. The results indicate that the RER shows nonlinear behaviour. Moreover, The Moroccan Tunisian (DH/DT) bilateral exchange rate is found to be highly persistent and follows a random walk, whereas the two others(Algerian Moroccan and Algerian Tunisian bilateral real exchange rates) are characterised by partial unit roots. This implies that PPP holds in one threshold regime but not in the other.
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    Meriem Djennas, Mohamed Benbouziane, Mustapha Djennas
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    ABSTRACT: Predicting exchange rates is one of the most leading financial problems because of its intrinsic difficulty and practical applications. In recent years, many nonlinear models have been proposed in the literature to modify the results of prediction in order to improve the forecasting performance of high frequency exchange rates. Neural networks and chaotic models are among the models that have been exploited and have shown promising results. The main objective of our research is to conduct a comparative evaluation of nonlinear models on a set of data and variables and to verify the predictive power of neural models under the same experimental conditions. This study uses a criterion to evaluate the model performance: the square root of the mean squared error. Our research study will be applied to the case of the US Dollar – Kuwaiti Dinar exchange rate.
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    Mohammed Benbouziane, Abdelhak Benamar
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    ABSTRACT: The choice of exchange rate regime is a real dilemma. The decision on any exchange rate system is a¤ected by many considerations ranging from economic factors related to stabilization properties of regimes to political arguments. So, one of the most important aspects of choosing exchange rate regime is its impact on the real economy. Thus, the main concern of this paper is to test the impact of exchange regime on the real sector (ination, nominal money growth, nominal exchange rate, foreign direct investment, exports, imports and GDP growth) in MENA countries using the new classi…cation as documented in Reinhart and Rogo¤ (2004) and Levy Yeyati and Sturzenegger (2005). Previous studies have used VAR models. Recent empirical studies, however, have shown that VAR models are in general known for their overparametrisation and low precision of coe¢cient estimates (Madalla and Kim, 1998). To overcome such a problem, we will be using the Pooled Mean Group (PMG) estimation as proposed by Pesaran et al. (1999). This method allows for heterogeneous short run dynamics which implies relaxing a restrictive assumption adopted in the VAR model. Our results show that, these is a signi…cant impact in the short run, whereas in the long run, it was found that the nature of exchange rate regime has no e¤ects on the economic performance in MENA countries.

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