Money-based Inflation Risk Indicator:a regime Switching Model

Elena Deryugina and Alexey Ponomarenko

Voprosy Ekonomiki, 2013, issue 9

Abstract: We examine the relationship between probability of large fluctuations of inflation rate and monetary developments. With this purpose we identify the periods of high inflation regime for the cross-section of 15 transition economies. The obtained results are used to estimate the panel probit models that capture the relationship between probability of transition to a high inflation regime and money growth. We calculate the conditional probability of transition to a high inflation regime that may be regarded as a money-based inflation risk indicator for Russia.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:nos:voprec:y:2013:id:575

DOI: 10.32609/0042-8736-2013-9-119-127

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