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Estimation of the Money Demand Function in Russia

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  • Kirill Sosunov

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    (National Research University Higher School of Economics. Department of Theoretical Economics)

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    Abstract

    In 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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    File URL: http://www.hse.ru/data/2012/12/20/1303754677/20EC2012.pdf
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    Bibliographic Info

    Paper provided by National Research University Higher School of Economics in its series HSE Working papers with number WP BRP 20/EC/2012.

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    Length: 11 pages
    Date of creation: 2012
    Date of revision:
    Publication status: Published in WP BRP Series: Economics / EC, December 2012, pages 1-11
    Handle: RePEc:hig:wpaper:20/ec/2012

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    Related research

    Keywords: macroeconomics; money demand; Russia;

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    References

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    1. Poole, William, 1970. "Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model," The Quarterly Journal of Economics, MIT Press, vol. 84(2), pages 197-216, May.
    2. Laurence Ball, 2002. "Short-run Money Demand," Economics Working Paper Archive 481, The Johns Hopkins University,Department of Economics.
    3. John V. Duca, 1992. "The case of the "missing M2."," Research Paper 9202, Federal Reserve Bank of Dallas.
    4. 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.
    5. 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.
    6. Judd, John P & Scadding, John L, 1982. "The Search for a Stable Money Demand Function: A Survey of the Post-1973 Literature," Journal of Economic Literature, American Economic Association, vol. 20(3), pages 993-1023, September.
    7. 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.
    8. 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.
    9. Franziska Ohnsorge & Nienke Oomes, 2005. "Money Demand and Inflation in Dollarized Economies," IMF Working Papers 05/144, International Monetary Fund.
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