Money Demand Function: A heterogeneous Panel Application
We construct an aggregate data panel for the GCC's six countries and verify the cointegration hypothesis among the variables of the money demand function using Pedroni's heterogeneous panel cointegration tests (2001). Then, we estimate the idiosyncratic, panel and group-mean cointegrating vectors using FMOLS and a modified version of FMOLS developed by Pedroni (2000). We find strong evidence of cointegration amongst our variables. The estimated elasticities have the expected signs in general but are significant only in the case of the scale variable. Unlike previous studies, we find a significant negative the semi elasticity of money demand with respect to interest rate when we allow for heterogeneity amongst our panel's members.
|Date of creation:||Oct 2003|
|Date of revision:|
|Note:||Type of Document - PDF document|
|Contact details of provider:|| Postal: +971 3 7636916|
Phone: +971 3 7636916
Fax: +971 3 7624384
Web page: http://www.cbe.uaeu.ac.ae/academics/departments/econ/index.htm
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:aeu:econom:03/04-01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nasri HARB)
If references are entirely missing, you can add them using this form.