Advanced Search

Papers Articles Authors Institutions Data (FRED®)

Abstract

An aggregate data panel is constructed for the GCC's six countries and the cointegration hypothesis among the variables of the money demand function is verified using Pedroni's heterogeneous panel cointegration tests. The idiosyncratic, panel and group-mean cointegrating vectors are then estimated using FMOLS and a modified version of FMOLS developed by Pedroni. The idiosyncratic elasticities have the expected signs in general but are significant only in the case of the scale variable. However, when the power of the test is increased, and allowance made for heterogeneous cointegrating vectors, the group-mean estimator shows a significant negative semi-elasticity of money demand with respect to interest rate.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/1350485042000225739&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 9 ()
Pages: 551-555

as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF in new window

Handle: RePEc:taf:apeclt:v:11:y:2004:i:9:p:551-555

Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/13504851.html

Order Information:
Web: http://www.tandf.co.uk/journals/subscription.asp

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

• C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
• C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
• E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
• F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF in new window

1. Peter C.B. Phillips, 1992. "Hyper-Consistent Estimation of a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 1040, Cowles Foundation for Research in Economics, Yale University.
2. Quah, D., 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," Papers 549, Stockholm - International Economic Studies.
   
   • Quah, Danny, 1994. "Exploiting cross-section variation for unit root inference in dynamic data," Economics Letters, Elsevier, vol. 44(1-2), pages 9-19.
   • Danny Quah, 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," FMG Discussion Papers dp171, Financial Markets Group.
3. Perron, P., 1987. "Test Consistency with Varying Sampling Frequency," Cahiers de recherche 8752, Universite de Montreal, Departement de sciences economiques.
   
   • Perron, Pierre, 1991. "Test Consistency with Varying Sampling Frequency," Econometric Theory, Cambridge University Press, vol. 7(03), pages 341-368, September.
   • Perron, P., 1989. "Test Consistency With Varying Sampling Frequency," Papers 345, Princeton, Department of Economics - Econometric Research Program.
4. Subramanian S. Sriram, 1999. "Survey of Literature on Demand for Money: Theoretical and Empirical Work with Special Reference to Error-Correction Models," IMF Working Papers 99/64, International Monetary Fund.
5. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
6. Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
   
   • Tom Doan, . "PANELFM: RATS procedure to perform panel data group mean FMOLS," Statistical Software Components RTS00151, Boston College Department of Economics.
7. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
   
   • Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
   • Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
8. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
   
   • Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
9. Jose Martelino & S. Nuri Erbas & Adnan Mazarei & Sena Eken & Paul Cashin, 1995. "Economic Dislocation and Recovery in Lebanon," IMF Occasional Papers 120, International Monetary Fund.
10. Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
11. Alkhatib Alkswani, Mamdouh & Al-Towaijari, Hamad A., 1999. "Cointegration, Error Correction and the Demand for Money in Saudi Arabia," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 52(3), pages 299-308.
12. Yashiv, Eran, 1994. "Money Demand in a High Inflation Economy: The Case of Israel," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 186-91, February.
13. Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers 2000-02, Department of Economics, Williams College.
14. repec:cup:etheor:v:7:y:1991:i:3:p:341-68 is not listed on IDEAS

Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF in new window

Cited by:

1. GARCIA-HIERNAUX, Alfredo & CERNO, Leonel, 2006. "Empirical Evidence For A Money Demand Function: A Panel Data Analysis Of 27 Countries In 1988-98," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
2. Mauricio Hernández Monsalve & Munir A. Jalil Barney & Carlos Esteban Posada, 2006. "¿Por qué ha crecido tanto la cantidad de dinero?: teoría y Evidencia Internacional (1975-2002)," BORRADORES DE ECONOMIA 003821, BANCO DE LA REPÚBLICA.
3. Al-Iriani, Mahmoud A., 2006. "Energy-GDP relationship revisited: An example from GCC countries using panel causality," Energy Policy, Elsevier, vol. 34(17), pages 3342-3350, November.
4. Kumar, Saten & Chowdhury, Mamta & Rao, B. Bhaskara, 2010. "Demand for Money in the Selected OECD Countries: A Time Series Panel Data Approach and Structural Breaks," MPRA Paper 22204, University Library of Munich, Germany.
   
   • Saten Kumar & Mamta B. Chowdhury & B. Bhaskara Rao, 2013. "Demand for money in the selected OECD countries: a time series panel data approach and structural breaks," Applied Economics, Taylor and Francis Journals, vol. 45(14), pages 1767-1776, May.
5. Harb, Nasri, 2006. "Trade Between Euro Zone and Arab Countries: a Panel Study," MPRA Paper 13675, University Library of Munich, Germany.
   
   • Nasri Harb, 2007. "Trade between Euro zone and Arab countries: a panel study," Applied Economics, Taylor and Francis Journals, vol. 39(16), pages 2099-2107.
6. Frauke Dobnik, 2011. "OLong-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 0237, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
7. Westerlund, Joakim & Basher, Syed A., 2007. "Mixed Signals Among Tests for Panel Cointegration," MPRA Paper 3261, University Library of Munich, Germany.
   
   • Westerlund, Joakim & Basher, Syed A., 2008. "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 128-136, January.
8. Mauricio A. Hernández & Munir Jalil Barney & Carlos Esteban Posada, . "¿Por qué ha crecido tanto la cantidad de dinero?: teoría y evidencia internacional (1975-2002)§," Borradores de Economia 402, Banco de la Republica de Colombia.
9. Darrat, Ali F. & Al-Sowaidi, Saif S., 2009. "Financial progress and the stability of long-run money demand: Implications for the conduct of monetary policy in emerging economies," Review of Financial Economics, Elsevier, vol. 18(3), pages 124-131, August.
10. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "The response of industry employment to exchange rate shocks: evidence from panel cointegration," Applied Economics, Taylor and Francis Journals, vol. 38(4), pages 415-421.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:11:y:2004:i:9:p:551-555

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

---

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.

Privacy Legal