Econometric Analysis of Money Demand in Serbia
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.
|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
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- Jan Klacek & Kateřina Šmídková, 1995. "The Demand-for-money Function," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(2).
- Lazea, Valentin & Cozmanca, Bogdan Octavian, 2003. "Currency substitution in Romania," MPRA Paper 19813, University Library of Munich, Germany.
- Roberto Golinelli & Riccardo Rovelli, 2002.
"Monetary Policy Transmission, Interest Rate Rules and Inflation Targeting in Three Transition Countries,"
Eastward Enlargement of the Euro-zone Working Papers
wp10, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002.
- Golinelli, Roberto & Rovelli, Riccardo, 2005. "Monetary policy transmission, interest rate rules and inflation targeting in three transition countries," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 183-201, January.
- R. Golinelli & R. Rovelli, 2001. "Monetary Policy transmission, interest rate rules and inflation targeting in three transition countries," Working Papers 429, Dipartimento Scienze Economiche, Universita' di Bologna.
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