俄罗斯货币需求函数的估计

ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic) Pub Date : 2012-12-20 DOI:10.2139/ssrn.2191941

K. Sosunov

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引用次数: 5

摘要

在Ball(2012)之后的论文中，我估计了2003-2012年俄罗斯狭义货币总量M1的需求函数。我表明，在纳入现金外汇和相关利率后，货币需求在长期和短期是稳定的，估计的货币需求的长期弹性和短期动态为简单的函数形式产生了合理的值。我还表明，货币持有的大部分短期波动可以归因于需求调整的缓慢速度，而不是无法解释的冲击。

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Estimation of the Money Demand Function in Russia

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.

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ERN: Other Econometrics: Applied Econometric Modeling in Macroeconomics (Topic)

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