Evaluating the underlying inflation measures for Russia

Elena Deryugina, Alexey Ponomarenko, Andrey Sinyakov and Constantine Sorokin ()

No wps4, Bank of Russia Working Paper Series from Bank of Russia

Abstract: Underlying inflation indicators can be useful for the monetary policy of the inflation targeting central bank when inflation indicators help separate a change in relative prices from true inflation, as well as when they allow assessing medium-term inflation risks. We apply various methods frequently used in practice to calculate 20 underlying inflation indicators for Russia in the pseudo-real time. We apply three types of tests to these measuring instruments: tests for economic content and the ability to forecast future inflation, as well as a set of technical tests. We find that inflation indicators cal-culated on the basis of dynamic factor models emerge as the best performing candidates. The dynamics of the ob-tained range of underlying inflation measures in 2014 compared with headline inflation indicates that the accelerated growth in consumer prices was not fully reflected in underlying inflation dynamics.

Keywords: Underlying inflation; core inflation; monetary inflation; dynamic factor model; Russia (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 E52 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2015-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Evaluating underlying inflation measures for Russia (2018)
Working Paper: Evaluating underlying inflation measures for Russia (2015)
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