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AuthorAl Samara, Mouyad
AuthorLanouar, Charfeddine
AuthorMrabet, Zouhair
Available date2022-12-27T08:14:14Z
Publication Date2017
Publication NameAfro-Asian Journal of Finance and Accounting
ResourceScopus
URIhttp://dx.doi.org/10.1504/AAJFA.2017.084231
URIhttp://hdl.handle.net/10576/37634
AbstractThis paper examines different specifications of the money demand function by including both black market exchange rate and oil prices as additional variables in Syria for the period 1990Q1-2009Q4. In order to test the stability of the proposed money demand function specifications, we apply the cointegration approach with structural breaks. The empirical results provide strong evidence for the existence of a stable long run relationship with shift in the cointegration vector. In particular, we found that 28% of the money demand adjustment, following a short-run shock, occurs in the following period. Moreover, the results show that the two additional variables, black market exchange rate and the oil price, play a vital role in determining the money demand in Syria. 2017 Inderscience Enterprises Ltd.
Languageen
PublisherInderscience Publishers
SubjectBlack market exchange rate
Cointegration test with structural break
Money demand
TitleMoney demand and black market exchange rate: A cointegration approach with structural break
TypeArticle
Pagination177-199
Issue Number2
Volume Number7
dc.accessType Abstract Only


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