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Volume :23 Issue : 90 1998      Add To Cart                                                                    Download

A MAXIMUM LIKELIHOOD COINTEGRATION ANALYSIS OFREAL EXCHANGE RATES BETWEEN GULF COOPERATION COUNCIL COUNTRIES

Auther : Dr. Hamad B. Sulaiman Al-Bazeay

 

         This paper studies co-integration between real exchange rates of three members of Gulf Cooperation Council (GCC).  To this end, Johansen’s multivariate model is used to ascertain of the presence of co-integration vectors. Before testing for co-integration, statistical properties of the data have been analyzed using unit root tests.  It was found that each series is different stationary.  The empirical results support the existence of co-integration between real exchange rates of Bahraini Dinar, Kuwaiti Dinar and Saudi Riyal.

          This result provides evidence of long-run equilibrium relationships between variables, which may help in achieving more economic cooperation between Council members.

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