Economics at your fingertips  

Money-based underlying inflation measure for Russia: a structural dynamic factor model approach

Elena Deryugina and Alexey Ponomarenko

Empirical Economics, 2017, vol. 53, issue 2, 441-457

Abstract: Abstract We estimate a dynamic factor model for the cross section of monetary and price indicators. We extract the common part of the dataset’s fluctuations and decompose it into structural shocks. We argue that one of the shocks identified has empirical properties (in terms of impulse response functions) that are fully in line with the theoretically expected relationship between money growth and inflation, confirming that the process identified has the capacity for economic interpretation. Based on this finding, we decompose recent inflationary developments in Russia into those that are associated with changes in monetary stance and other shorter-lived shocks.

Keywords: Monetary aggregates; Inflation; Dynamic factor model; Transition countries (search for similar items in EconPapers)
JEL-codes: C22 E31 E51 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-09-22
Handle: RePEc:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1125-1