Autoregressive Distributed Lag (ARDL) cointegration technique between interest rates and Per capita income variables

Volume 22 No 1 (2024)

Hamlili Abdelkader, Abderrahmane Belguerna, Zouaoui Chikr ElMezouar, Hamza Daoudi

DOI: 10.48047/nq.2024.22.1.NQ24010

Abstract

This paper demonstrates the co-integration relationship between interest rate (IR) and per capita income (PCI) for Saudi Arabia. Time series techniques such as unit root tests and co-integration test are used for testing such relationship. The study used yearly data for the period 1997 to 2015. Our study, show two main result, firstly, the two series have a different order of stationarity and secondly, there is a clear one co-integration relationship between interest rates and per capita income using ARDL approach.

Keywords

ARDL, co-integration relationship, Per capita income, interest rate, Saudi Arabia, causality and time series.

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