Constructing Core Inflation Index for Russia

Tsyplakov, Alexander

Constructing Core Inflation Index for Russia

EERC Working Paper Series from EERC Research Network, Russia and CIS

Abstract: The paper studies a possibility to construct a price index (“core inflation” index) for Russia, which is more appropriate for assessing monetary policy than consumer price index. The index is derived by applying to Russian data trimmed mean method, which explores cross-sectional dimension of the data. We find that cross-sectional distributions of individual price changes are significantly long-tailed. In this situation ordinary sample mean is not very efficient and robust estimator of the central tendency. Trimming 50-100% of observations leads to a large gain in efficiency. Moreover, trimmed mean series is shown to be less volatile than official consumer price index.

Keywords: Russia; core inflation; inflation measurement; trimmed mean; Russian inflation (search for similar items in EconPapers)
JEL-codes: C43 E31 E52 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2004-03-23
New Economics Papers: this item is included in nep-cis, nep-mac, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eercnetwork.com/default/download/creater/w ... e3753fbc83d6f155.pdf (application/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:eer:wpalle:04-04e

Ordering information: This working paper can be ordered from
EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine
https://eercnetwork.com/paper

Access Statistics for this paper

More papers in EERC Working Paper Series from EERC Research Network, Russia and CIS EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine.
Bibliographic data for series maintained by Anton Pashchenko ().