1 THE EFFECTS OF RAMADAN ON PRICES : A COMPARISON BETWEEN 3 COUNTRIES (MAROCCO, SENEGAL, TUNISIA) Modou Ndour FAYE Béchir MAGHRABI, Adnen LAOUSSED Amal MANSOURI, Dominique LADIRAY 1 Modou Ndour FAYE, Head of the Quarterly Accounts and Analytical Studies Office, National Agency for Statistic and Demography, [email protected]; Adnen LAOUSSED, General Director of Statistics Tunisia, [email protected]; Béchir MAGHRABI, Director of the Context, Statistics Tunisia, [email protected]; Amal MANSOURI, Head of Socio-Economic Information Division, National Institute of Conjunc- ture Analysis, [email protected]; Dominique LADIRAY, former head of the Short Term Statistics Department, National Institute of Statistics and Economic Studies , France, [email protected]; LAST REVISED : SEPTEMBER 2019 1. All the views expressed in this paper belong to the authors and do not represent those of the National Agency for Statistics and Demography, Statistics Tunisia, National Institute of Business Analysis and the National Institute of Statistics and Economic Studies. 2 THE EFFECTS OF RAMADAN ON PRICES : A COMPARISON BETWEEN 3 COUNTRIES (MAROCCO, SENEGAL, TUNISIA) Abstract Ramadan is characterized by an increase in household consumption expenditure in many countries, which is accompanied by more marked price changes, espe- cially those of foodstuffs. This paper aims to study and compare the effects of Ramadan on prices in three Muslim-dominated countries : Morocco, Senegal and Tunisia. The estimation methodology is based on the RegARima models taking into account the specific regressors to the national calendars of the 3 countries. The common estimation period is 10 years. The estimation results on the basic indices of consumer prices show that the effects of Ramadan on food prices are, on the whole, significant at the level of the three countries, but tend to undergo unstable changes during the study period. Keywords : Seasonal adjustment, Calendar effects. JEL Classifications : C22 3 1 Introduction Ramadan, the ninth month of the Hijri calendar, corresponds to the period of fas- ting among Muslims and is characterized by a change in household consumption habits compared to other months of the year. Most often the breaking of the fast, which takes place at sunset, is done in family, around traditional dishes and delica- cies. Ramadan is also characterized by a rise in specific purchases of clothing and some household equipment, in view of the holiday of Aid el-Fitr which reflects the end of Ramadan. The increase in household spending observed during the month of Ramadan is accompanied by significant changes in consumer prices, especially those of food products. Stylized facts indicate that consumer prices are significantly higher du- ring Ramadan in different Muslim countries. Unfortunately, these measures have never been compared. The main objective of the article is to conduct a compara- tive analysis of the effects of the month of Ramadan on consumer prices in three Muslim countries (Morocco, Senegal, Tunisia). The first step is to homogenise the nomenclatures of the price indexes , use a common method of estimation taking into account the specificities of the calendar of each country and study the conver- gences and divergences in terms of effects between the 3 countries. The paper is divided into four sections. The first will present succinctly studies that have focused on the effects of the Hijri calendar. The second section will deal with the specificities of the effects of the calendar and will present a reminder of the methodology of their estimation. Empirical results and interpretive grids through the study and comparative analysis of country-specific effects will be discussed in the last section. 2 Literature review Empirically, many studies have been conducted, but the general trend is that the approaches used to measure the effects of Ramadan on economic activity were ba- sed on time series and econometric models. Thus Ladiray and al (2009) showed the 4 existence of the effects of the month of Ramadan on sectorial activity in Tunisia, using the model proposed by Hillmer and Bell (1983). In the same context, El- Guellab and al (2013) showed the impact of the month of Ramadan on food prices and rail transport in Morocco, while retaining the basic model proposed by Young (1965). Bukhari and Jalil Abdul (2011) used an econometric approach to demonstrate the positive effect of Ramadan on mass money holdings and on the reduction of depo- sits in Pakistan. Norhayati and Lazim (2011) analyzed and attested to the effects of the holiday seasons, Aid el- Fitr, Chinese New Year and deepvall on activity in Ma- laysia, retaining an econometric specification with 3 types of regressors. Riazuddin and Khan (2002) demonstrated that foreign currency holdings are directly or indi- rectly affected by seasonal variations related to the Hijri and Gregorian months. Jin Lung Lin and Tian Syh Liu (2002) modeled the effects of the Hijri calendar holidays for Taiwan using regressors for each type of holiday. They had proved that seasonal factors could not be determined effectively if the effects of the Hijri calendar were not taken into account. Amrani and Skalli (2008) evaluated the mobile seasonality due to the lunar ca- lendar on Moroccan time series using a state space model. They concluded that Ramadan had a negative impact on passenger traffic. 3 Specificities and typology of calendar effects Ramadan is the ninth month of the Hijri calendar that punctuates activity in many Muslim countries. The officially calendar in most Muslim-dominated countries is the Gregorian calendar. However, the consumption habits and lifestyle of the inhabitants continue to evolve in line with the festivities of the Hijri calendar where the year is 10 days less than the Gregorian year. 3.1 Specificities of the Gregorian and Hijri calendars The Gregorian calendar is a calendar based on the movements of the earth around the sun. Consisting of 12 months, the tropical Gregorian year is closer to the solar 5 year, with an average duration of 365,2435 days. This reconciliation was achieved by adding 97 days every 400 years. Leap years, which include an additional day added in February, are divisible by 4 or multiples of 400 years, with the exception of the centennial years. Thus, the years 1900, 2100, and 2200 are not leap years but 1600, 2000, and 2400 are leap years. The Hijri calendar is a 12-month lunar calendar, with an average duration of 29,530,589 days. The common Hijri year has 354 days remaining 0.367068 days lower than the synodic lunar year. Thus, and in order to preserve a similar reproduction of the calendar, were added 11 days every 30 years. The number of common hijri years is 19 during a 30-year cycle, while 11 years have an extra day and are commonly known as abundant years. The determination of the rank of abundant years has been highlighted through several algorithms, including the standard version which retains the years ranked in order 2, 5, 7, 10, 13, 16, 18, 21, 24, 26 and 29 as abundant years. The Kuwaiti algorithm is slightly different from the standard version, retaining the 15th instead of the 16th year. A difference of one day can be recorded in some months over two years. The Indian tables consider the years ranked in order 2, 5, 8, 10, 13, 16, 19, 21, 24, 27 and 29. The overlapping of the two calendars (solar and lunar) and the differences made on the occasion of the advent of the new lunar month lead to differences in terms of working days and holidays. As an illustration, the beginning of the month of chawwal 1426, Eid el-Fitr’s day of celebration, corresponded to : • Wednesday, 2 November 2005 in Libya and Nigeria; • Thursday, November 3, 2005 in 30 countries including Algeria, Tunisia, Egypt, Saudi Arabia and part of the United States; • Friday, November 4, 2005 in 13 countries including Morocco, Senegal, Iran, Bangladesh, South Africa, Canada, part of India and part of the United States; 6 • Saturday, November 5, 2005 in a part of India. These differences reflect the need to build a specific calendar for each country, in particular to capture the specificities in terms of calendar effects and facilitate comparisons within and between countries 3.2 Typology of calendar effects The effects of the calendar include movements related to the evolution and com- position of the calendar, in particular : • Seasonality : some of the fluctuations related to the effects of the calendar are taken into account in seasonal variations. Thus, although the effect of civil ho- lidays is not identical, taking into account a different monthly composition of weeks, some of this effect is captured through seasonal fluctuations, because of its repetitive coincidence with the same month; • The length of the month : the months that have a higher number of days (31, instead of 30 or 28) experience greater variations in activity compared to shor- ter months; • The day effect of the week related to the number of days of each type (Sunday to Thursday ...) in each period. The same month can have for example 4 or 5 Saturdays; • Public holidays : most holidays are linked to a date and not to a day (Indepen- dence Day, Labor Day, etc.); • The effect of mobile events taking into account the effect of the festivities whose date changes over time, such as Eid el-Fitr, etc.; • The effect of Ramadan which constitutes a particular calendar effect requiring a specific treatment in order to capture it. 7 4 Methodology for estimating the effects of Ramadan In general terms, the global model for estimating calendar effects, including the Ramadan model, refers to a Reg-ARIMA type specification (ARIMA error regres- sion model) whose form is as follows : 8 > Xt TDt MHt Ot Zt <> Æ Å Å Å Z TC S I t Æ t Å t Å t > : Zt follows a model ARIMA(p,d,q)(P,D,Q)s With : Xt : gross series, TD : vector of working days, MH : vector of events and moving holidays (Passover, Ramadan, Chinese New Year, etc.), O : vectors of out- liers, TC : trend-cycle, S : seasonality and I : Irregular component.