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Empirical Evidence on the Long-Run Money Demand Function in the GCC Countries

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  • Hamdi, Helmi
  • Sbia, Rashid
  • said, ali

Abstract

The broad aim of this paper is to estimate the money demand function for the case of six Gulf Cooperation Council countries. By applying panel cointegration tests, the empirical results reveal strong evidence of cointegration between the variables of the model for individual countries as well as for the panel. Moreover, the results support the existence of a stable money function in the long-run estimation. The Granger non-causality test due to Toda and Yamamoto (1995) procedure shows evidence of a bidirectional causal relationship between money demand and income for panel estimation. At an individual level, the results change from one country to another one.

Suggested Citation

  • Hamdi, Helmi & Sbia, Rashid & said, ali, 2014. "Empirical Evidence on the Long-Run Money Demand Function in the GCC Countries," MPRA Paper 63306, University Library of Munich, Germany, revised 2015.
    • Handle: RePEc:pra:mprapa:63306
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    More about this item

    Keywords

    Money Demand; GCC; Panel Cointegration; Toda-Yamamoto;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F45 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Macroeconomic Issues of Monetary Unions

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