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Econometric Analysis of Money Demand in Serbia

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Author Info

  • Jelena Maravic

    (National Bank of Serbia)

  • Mirjana Palic

    (National Bank of Serbia)

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    Abstract

    This analysis aims to quantify features of exchange rate pass-through to inflation for Serbian economy. In summary of our results, ADL and recursive VAR methodologies confirm that pass-through effect in Serbia is relatively high, but, like in most countries, incomplete and well below one. Although, the estimates are very imprecise and range from 0.3 to 0.7, depending on the specification and sample size, the thrust our results suggests that the short term pass-through elasticity is less than 0.3 and the long run elasticity is less than 0.6.

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    File URL: http://www.nbs.rs/export/sites/default/internet/latinica/90/90_0/2005_2_JM_MP.pdf
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    Bibliographic Info

    Paper provided by National Bank of Serbia in its series Working papers with number 2.

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    Length: 22 pages
    Date of creation: Apr 2005
    Date of revision:
    Handle: RePEc:nsb:wpaper:2

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    Postal: National Bank of Serbia, 12 Kralja Petra St, 11 000 Belgrade, Republic of Serbia
    Phone: 381-11/3248-841
    Fax: 381-11/3234-120
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    Web page: http://www.nbs.rs
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    Related research

    Keywords: pass-through effect; exchange rate; inflation;

    References

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    1. Lazea, Valentin & Cozmanca, Bogdan Octavian, 2003. "Currency substitution in Romania," MPRA Paper 19813, University Library of Munich, Germany.
    2. Jan Klacek & Kateřina Šmídková, 1995. "The Demand-for-money Function," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(2).
    3. R. Golinelli & R. Rovelli, 2001. "Interest Rate Rules and Inflation Targeting in Three Transition Countries," Working Papers 429, Dipartimento Scienze Economiche, Universita' di Bologna.
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