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Building of monetary and currency markets models

Author

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  • Bozhechkova Alexandra

    (Gaidar Institute for Economic Policy)

  • Trunin Pavel

    (Gaidar Institute for Economic Policy)

  • Sinelnikova-Muryleva Elena

    (RANEPA)

  • Petrova Diana

    (RANEPA)

  • Chentsov Alexander

    (RANEPA)

Abstract

The paper provides the estimation of stable long-run and short-run functions of the demand for money in Russia and determines the factors affecting the demand for money in Russia. The endogenous nature of money supply in Russia after the global financial crisis due to the gradual change in the monetary policy regime and the transition to flexible exchange rate formation and inflation targeting were revealed in the paper. In addition, the paper investigates the hypothesis of interest parity, taking into account the degree of openness of the economy.

Suggested Citation

  • Bozhechkova Alexandra & Trunin Pavel & Sinelnikova-Muryleva Elena & Petrova Diana & Chentsov Alexander, 2018. "Building of monetary and currency markets models," Research Paper Series, Gaidar Institute for Economic Policy, issue 175P, pages 1-96.
  • Handle: RePEc:gai:rpaper:rpaper-2018-175p-910
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    Cited by:

    1. Marina Yu. Malkina & Igor A. Moiseev, 2020. "Endogeneity of Money Supply in the Russian Economy in the Context of the Monetary Regime Change," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 127006, Russia, issue 3, pages 8-27, June.

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    More about this item

    Keywords

    Russian economy; monetary markets models; currency markets models; money demand; money supply;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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