Estimation of the Money Demand Function in Russia

Kirill Sosunov ()
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Kirill Sosunov: National Research University Higher School of Economics. Department of Theoretical Economics
Authors registered in the RePEc Author Service: Kirill Sossounov

HSE Working papers from National Research University Higher School of Economics

Abstract: In this paper following Ball (2012) I estimate the demand function for narrow money aggregate M1 in Russia for 2003-2012. I 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. I 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.

Keywords: macroeconomics; money demand; Russia (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in WP BRP Series: Economics / EC, December 2012, pages 1-11

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Related works:
Journal Article: Estimation of the Money Demand Function in Russia (2013)
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