Econometric Analysis of Money Demand in Serbia
AbstractThis 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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Bibliographic InfoPaper provided by National Bank of Serbia in its series Working papers with number 2.
Length: 22 pages
Date of creation: Apr 2005
Date of revision:
Contact details of provider:
Postal: National Bank of Serbia, 12 Kralja Petra St, 11 000 Belgrade, Republic of Serbia
Web page: http://www.nbs.rs
More information through EDIRC
pass-through effect; exchange rate; inflation;
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.:
- Jan Klacek & Kateřina Šmídková, 1995. "The Demand-for-money Function," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(2).
- R. Golinelli & R. Rovelli, 2001. "Interest Rate Rules and Inflation Targeting in Three Transition Countries," Working Papers 429, Dipartimento Scienze Economiche, Universita' di Bologna.
- Lazea, Valentin & Cozmanca, Bogdan Octavian, 2003. "Currency substitution in Romania," MPRA Paper 19813, University Library of Munich, Germany.
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