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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