Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries
Syed Basher () and
Stefano Fachin ()
No 2012/6, DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome
We estimate the long-run demand for broad money at the Gulf Cooperation Council area level (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates (UAE)) and at single country level over the 1980-2009 period. Applying time series and panel econometric tests, we first document the existence of long-run equilibrium relationship for money demand – both nationally and regionally. The estimated income- and interest elasticities in Qatar, Saudi Arabia and the UAE provide a validation for the Baumol-Tobin version of the inventory analysis of the transactions demand for money; while income elasticities in the other GCC economies reflect portfolio demand more strongly than transaction demand with a generally lower interest rate (semi-)elasticities. We discuss how the movements in income velocity can reconcile the varying elasticities documented across the six countries. The different pooled estimators of the regional money demand produce estimated income elasticities in the neighborhood of unity, while interest rate elasticities tend to be smaller than -0.2.
Keywords: Money demand; Endogenous money; Gulf monetary union; Panel cointegration; Poolability. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ara
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.dss.uniroma1.it/RePec/sas/wpaper/20126_Basher_Fachin.pdf First version, 2012 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:sas:wpaper:20126
Access Statistics for this paper
More papers in DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome
Contact information at EDIRC.
Series data maintained by Stefano Fachin ().