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Modelling And Predicting The Real Money Demand In Romania

Author

Listed:
  • PELINESCU, Elena

    (Institute for Economic Forecasting, Romanian Academy)

  • SIMIONESCU, Mihaela

    (Institute for Economic Forecasting, Romanian Academy)

Abstract

The main aim of this article is to model the quarterly real money demand in Romania and to make short-run forecasts for 2014:Q1-2015:Q1. A vector-autoregressive model (VAR(1)) was built for stationary data series of real money demand, real GDP and spread between active and pasive interest rate of the credit institutions over the period from 2000:Q1 to 2013:Q4. In the first period the variations in the double differentiated real money demand are exclusivly generated by the changes in this variable. The short-term forecasts based on this model indicated a slow variation in the rate of real money demand. For the first quarter of 2014 the comparison of the forecast with the actual value is made and an error of 0.94 percentage point was obtained. Starting with the second quarter of 2014, a slow decrease is anticpated for the rate of real money demand.

Suggested Citation

  • PELINESCU, Elena & SIMIONESCU, Mihaela, 2014. "Modelling And Predicting The Real Money Demand In Romania," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 117-124.
    • Handle: RePEc:vls:rojfme:v:1:y:2014:i:1:p:117-124
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    References listed on IDEAS

    as
    1. Pelinescu, Elena, 2012. "Transmission Mechanism of Monetary Policy in Romania. Insights into the Economic Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-21, September.
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    More about this item

    Keywords

    money demand; VAR model; spread; forecasts;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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