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Econometric Analysis of Money Demand in Serbia

Author

Listed:
  • Jelena Maravic

    (National Bank of Serbia)

  • Mirjana Palic

    (National Bank of Serbia)

Abstract

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.

Suggested Citation

  • Jelena Maravic & Mirjana Palic, 2005. "Econometric Analysis of Money Demand in Serbia," Working papers 2, National Bank of Serbia.
  • Handle: RePEc:nsb:wpaper:2
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    File URL: http://www.nbs.rs/internet/latinica/90/90_0/2005_2_JM_MP.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. Lazea, Valentin & Cozmanca, Bogdan Octavian, 2003. "Currency substitution in Romania," MPRA Paper 19813, University Library of Munich, Germany.
    3. Jan Klacek & Kateřina Šmídková, 1995. "The Demand-for-money Function," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(2).
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Moinuddin, 2007. "Choice of Monetary Policy Regime: Should SBP Adopt Inflation Targeting," SBP Working Paper Series 19, State Bank of Pakistan, Research Department.

    More about this item

    Keywords

    pass-through effect; exchange rate; inflation;

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