Template-Type: ReDIF-Paper 1.0

Author-Name: Ramis Khabibullin
Author-Email: KhabibullinRA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Alexey Ponomarenko
Author-Email: PonomarenkoAA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation




Title: An empirical behavioral model of households’ deposit dollarization

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.


Length: 25 pages
Creation-Date: 2020-12
Revision-Date:
Publication-Status:
File-URL: https://www.cbr.ru/StaticHtml/File/117685/wp-67_e.pdf
File-Format: Application/pdf
File-Function:
Number: wps67
Classification-JEL: C11, D84, E44, G17
Keywords: Dollarization, behavioral finance, variational Bayes, Russia
Handle:RePEc:bkr:wpaper:wps67