An Empirical Behavioral Model of Households’ Deposit Dollarization

19 Pages Posted: 3 Nov 2020

Date Written: September 15, 2020

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

JEL Classification: C11, D84, E44, G17

Suggested Citation

Khabibullin, Ramis and Ponomarenko, Alexey, An Empirical Behavioral Model of Households’ Deposit Dollarization (September 15, 2020). Available at SSRN: https://ssrn.com/abstract=3693326 or http://dx.doi.org/10.2139/ssrn.3693326

Ramis Khabibullin

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Alexey Ponomarenko (Contact Author)

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
14
Abstract Views
171
PlumX Metrics