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
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