MODELLING AND PREDICTING THE REAL MONEY DEMAND IN ROMANIA

Elena Pelinescu and Mihaela Simionescu

Journal of Financial and Monetary Economics, 2014, vol. 1, issue 1, 117-124

Abstract: The main aim of this article is to model the quarterly real money demand in Romania and to make short-run forecasts for 2014:Q1-2015:Q1. A vector-autoregressive model (VAR(1)) was built for stationary data series of real money demand, real GDP and spread between active and pasive interest rate of the credit institutions over the period from 2000:Q1 to 2013:Q4. In the first period the variations in the double differentiated real money demand are exclusivly generated by the changes in this variable. The short-term forecasts based on this model indicated a slow variation in the rate of real money demand. For the first quarter of 2014 the comparison of the forecast with the actual value is made and an error of 0.94 percentage point was obtained. Starting with the second quarter of 2014, a slow decrease is anticpated for the rate of real money demand.

Keywords: money demand; VAR model; spread; forecasts (search for similar items in EconPapers)
JEL-codes: C51 C53 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:vls:rojfme:v:1:y:2014:i:1:p:117-124

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