Estimation of the Money Demand Function in Russia
In this paper following Ball (2012) we estimate the demand function for narrow money aggregate M1 in Russia for 2003-2012. We 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. We 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.
Volume (Year): 18 (2013)
Issue (Month): 2 ()
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- Iikka Korhonen & Aaron Mehrotra, 2010.
"Money Demand in Post-Crisis Russia: Dedollarization and Remonetization,"
Emerging Markets Finance and Trade,
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- 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.
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- Mehrotra, Aaron & Ponomarenko, Alexey, 2010. "Wealth effects and Russian money demand," BOFIT Discussion Papers 13/2010, Bank of Finland, Institute for Economies in Transition.
- Ball, Laurence, 2012. "Short-run money demand," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 622-633.
- Laurence Ball, 2002. "Short-Run Money Demand," NBER Working Papers 9235, National Bureau of Economic Research, Inc.
- Laurence Ball, 2002. "Short-run Money Demand," Economics Working Paper Archive 481, The Johns Hopkins University,Department of Economics.
- 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.
- Oomes, Nienke & Ohnsorge, Franziska, 2005. "Money demand and inflation in dollarized economies: The case of Russia," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 462-483, September.
- Franziska L Ohnsorge & Nienke Oomes, 2005. "Money Demand and Inflation in Dollarized Economies; The Case of Russia," IMF Working Papers 05/144, .
- Duca, John V, 2000. "Financial Technology Shocks and the Case of the Missing M2," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 32(4), pages 820-839, November.
- William Poole, 1970. "Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model," The Quarterly Journal of Economics, Oxford University Press, vol. 84(2), pages 197-216.
- 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. Full references (including those not matched with items on IDEAS)
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