A monarchy under a good and just monarch operates much better than a democracy. The problem with monarchy is that there is no way to insure that.
A monarch has the ability to get things done that are better for the long term without the need for a shortsighted four-year result. He can get things done without a congress full of local-minded individuals hampering his efforts for the sake of their own re-election.
When Moshiach comes we will see the benefits of a righteous king. Until then, democracy is the only safe way to go. But as Ben Franklyn said, the minute people figure out that they can vote themselves money democracy is doomed.