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Different Approaches To Modelling The Monetary Demand Function For Egypt, With Particular Stress On The Money-Income Relationship, Srdja Ivekovic

Archived Theses and Dissertations

In this paper we attempt to construct a money demand function for Egypt, as determined by income, interest rate and inflation. The exercise was performed on quarterly data (1980:4 to 1996:4), but since a representative activity variable is not available at any frequency higher than annual, we had to generate quarterly GDP series assuming an ARIMA process. DF and ADF tests for stationarity and the ratio­-to-moving average test for seasonality were pe1formed, while the HEGY procedure was used to confirm the results of the simpler procedures. The series were found to be 1(1) and there was no evidence of deterministic …