An empirical behavioral model of households’ deposit dollarization

Ramis Khabibullin () and Alexey Ponomarenko
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Ramis Khabibullin: Bank of Russia, Russian Federation

No wps67, Bank of Russia Working Paper Series from Bank of Russia

Abstract: We use the behavioral concept to endogenously model the evolution of the link between households’ deposit dollarization and exchange rate developments in Russia. We estimate the model empirically and show that the reaction of households to exchange rate appreciation weakens when exchange rate developments become more volatile. The proposed model outperforms the contemporary nonlinear time series models in forecasting the changes in dollarization during the Bank of Russia’s transition to a flexible exchange rate regime.

Keywords: Dollarization; behavioral finance; variational Bayes; Russia (search for similar items in EconPapers)
JEL-codes: C11 D84 E44 G17 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2020-12
New Economics Papers: this item is included in nep-cis, nep-cwa, nep-mac, nep-mon, nep-ore and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: An empirical behavioral model of household’s deposit dollarization (2022)
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