Assessing the factors affecting money demand in Russia

• Main Author: Tan, Jin Yen
• Format: Final Year Project Report
• Language: English; English
• Published: Universiti Malaysia Sarawak, (UNIMAS) 2015
• Subjects: HG Finance
• Online Access: http://ir.unimas.my/id/eprint/12322/1/Assessing%20the%20factors%20affecting%20money%20demand%20in%20Russia%20%2824pgs%29.pdf; http://ir.unimas.my/id/eprint/12322/8/Tan%20Jin%20Yen%20ft.pdf; http://ir.unimas.my/id/eprint/12322/
• Institution: Universiti Malaysia Sarawak

This study investigates whether any relationship exists among real income, advertising expenditure, exchange rate and M2 monetary aggregate in Russia from 2002Q1 to 2012Q2 using quarterly data. The Unit Root test, Johansen-Juselius Cointegration test, VAR Granger Causality are used in this study to examine the whether cointegration and/or causality relationship exists among the variables. Indeed, the finding that all the estimated variables are I(1) and cointegration and causality relationship do not exist among the variables of real income, exchange rate and M2 monetary aggregate. However, the results show that bidirectional relationship exists between advertising expenditure and real ruble balances in granger causality in the short run. This study provides sufficient evidence that the advertising expenditure is an important factor of money demand.