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Interest Rates Parity Between Industrial Countries and Gulf Cooperation Council Countries GCC

Interest Rates Parity Between Industrial Countries and Gulf Cooperation Council Countries GCC The papers objective is to empirically invistigate whether monetary policy in GCC counties is integrarted andor affected by monetary policy of the industrialized countries. To this end, the study tests possible cointegration and Grangercausality between real interest rates of two GCC countries, namely Saudi Arabia and Bahrain, and two industrialized countries, USA and Japan. The econometric methodolgy is based on the Johansen 1998 cointegration technique and on Dolado and Kuthepohi 1996 who used Tode and Yamamoto 1995 Wald test for Granger noncausality in integrated and cointegrated systems. The Wald test value is obtained by using Seemingly Unrelated Regressions. The empirical results of the paper show that the monetary system of Saudi Arabia is well integrated and influenced by economic indicators of the US, while neither the US nor the Japanese monetary systems have a great influence on the financial market of Bahrain. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic and Administrative Sciences Emerald Publishing

Interest Rates Parity Between Industrial Countries and Gulf Cooperation Council Countries GCC

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
1026-4116
DOI
10.1108/10264116200400001
Publisher site
See Article on Publisher Site

Abstract

The papers objective is to empirically invistigate whether monetary policy in GCC counties is integrarted andor affected by monetary policy of the industrialized countries. To this end, the study tests possible cointegration and Grangercausality between real interest rates of two GCC countries, namely Saudi Arabia and Bahrain, and two industrialized countries, USA and Japan. The econometric methodolgy is based on the Johansen 1998 cointegration technique and on Dolado and Kuthepohi 1996 who used Tode and Yamamoto 1995 Wald test for Granger noncausality in integrated and cointegrated systems. The Wald test value is obtained by using Seemingly Unrelated Regressions. The empirical results of the paper show that the monetary system of Saudi Arabia is well integrated and influenced by economic indicators of the US, while neither the US nor the Japanese monetary systems have a great influence on the financial market of Bahrain.

Journal

Journal of Economic and Administrative SciencesEmerald Publishing

Published: Jun 1, 2004

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