تقدير وتحليل دالة الطلب على النقود واختبار استقرارها في الاقتصاد الليبي خلال الفترة (1990-2023)

الملخص

This study aimed to estimate and analyze the demand money function, and to determine whether it is stable in Libya. Four explanatory variables (economic growth, inflation, velocity of money, exchange rate) were specified for this study based on economic theoretical underpinning during the period (1990- 2023) . Stationary test were conducted and all variables were stationary at first difference, with one cointegrating equation after using the Johansen Cointegration test. The empirical results show that one cointegrated long-run relationship study variables. Also, the results Vector Error Correction Model (VECM) reveal in the long-run that money of demand is found to be directly related to the economic growth. The coefficient economic growth having positive sign is significant at 5 percent level. Respect to the coefficient of inflation having negative sing and it is statistically significant. . The coefficient of the velocity of money having negative sing. And it is statistically significant.. For exchange rate has positive signs but statistically insignificant. In addition to that results of Vector Error Correction Model short run is indicates that there is notexists a short -run relationship among the five study variables. Respect to the coefficients (demand money, inflation, velocity of money, exchange rate) are negative sing in last year and two years before. Respect to the coefficient economic growth is positive sing in last year and two years before, but all of them statistically insignificant. For the speed of adjustment term negative sign of speed of adjustment term shows that the economy will converge towards long run equilibrium after taking 0.66 percent annually adjustments in the short run and the value of coefficient is statistically significant. Granger Causality tests results has found interesting results of granger causality . These demonstrate that there was unidirectional causality relationship running running from money demand to economic growth. But there is no any causality relationship between inflation and money demand. As, there is unidirectional causality relationship , running from money demand to the velocity of money. Also there is unidirectional causality relationship from money demand to exchange rate. Specifically this result revealed that money demand. causing change exchange rate at 5 per cent level of significance. Finally the statistical diagnostic tests on the VECM revealed that the model does not suffer from any problems of econometrics problems. The CUSUM and CUSUMQ test conducted confirm that the empirical results indicate that money demand function in Libya is stable .