Analysis of Inflation Risk Factors in Russia

Alexandra Chudaeva ()
Additional contact information
Alexandra Chudaeva: Institute of Applied Economic Research, RANEPA

Russian Journal of Money and Finance, 2025, vol. 84, issue 1, 60-92

Abstract: This paper uses quantile regression combined with the local projections approach to study the impact of macroeconomic and financial factors on the conditional distribution of inflation and inflation risk in Russia, i.e. the probability of high values of price growth. It is shown that the main predictors of growth in inflation risk are increases in nominal wages and retail turnover, the weakening of the Russian rouble, and declines in production. In addition, geopolitical tension and the narrowing of the bond spread could indicate the intensification of this risk. It is revealed that the effect of the pass-through of the dynamics of the exchange rate to consumer prices is manifested even more with growth in the inflation rate. At the same time, in a high inflation environment, the strengthening and weakening of the Russian rouble are passed through to prices with varying intensity, greater in the second case. A notable reduction of the risk of critically high inflation may require the central bank to take comprehensive measures to fight inflation, since the effect of a rising interest rate on inflation risk is less significant compared to the effect on the average value of price growth.

Keywords: inflation; inflation risk; risk assessment; quantile regression; conditional distribution; exchange rate pass-through effect; monetary policy (search for similar items in EconPapers)
JEL-codes: C32 C51 E31 E52 F31 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://rjmf.econs.online/upload/iblock/bb4/hg8aot ... k-Factors-Russia.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bkr:journl:v:84:y:2025:i:1:p:60-92

Access Statistics for this article

Russian Journal of Money and Finance is currently edited by Ksenia Yudaeva

More articles in Russian Journal of Money and Finance from Bank of Russia Contact information at EDIRC.
Bibliographic data for series maintained by Olga Kuvshinova ().