Estimation of the Money Demand Function in Russia
AbstractIn this paper following Ball (2012) I estimate the demand function for narrow money aggregate M1 in Russia for 2003-2012. I show that after inclusion of cash foreign exchange and relevant interest rate the money demand is stable in the long- and the short-run and estimated long-run elasticities and short-run dynamics of the money demand yields sensible values for the simple functional form. I also show that most of the short-run volatility of the money holding can be attributed to the slow speed of adjustment of the demand not to the unexplained shocks.
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Bibliographic InfoPaper provided by National Research University Higher School of Economics in its series HSE Working papers with number WP BRP 20/EC/2012.
Length: 11 pages
Date of creation: 2012
Date of revision:
Publication status: Published in WP BRP Series: Economics / EC, December 2012, pages 1-11
macroeconomics; money demand; Russia;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mohsen Bahmani-Oskooee & Michael P. Barry, 2000. "Stability of the Demand for Money in an Unstable Country: Russia," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 22(4), pages 619-629, July.
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- Iikka Korhonen & Aaron Mehrotra, 2010. "Money Demand in Post-Crisis Russia: Dedollarization and Remonetization," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(2), pages 5-19, March.
- Laurence Ball, 2002.
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- Goldfeld, Stephen M. & Sichel, Daniel E., 1990. "The demand for money," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 8, pages 299-356 Elsevier.
- Mehrotra, Aaron & Ponomarenko, Alexey A., 2010. "Wealth effects and Russian money demand," BOFIT Discussion Papers 13/2010, Bank of Finland, Institute for Economies in Transition.
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