EconPapers    
Economics at your fingertips  
 

Помогают ли высокочастотные данные в прогнозировании российской инфляции?

Does the high-frequency data is helpful for forecasting Russian inflation?

Dmitriy Tretyakov and Nikita Fokin

MPRA Paper from University Library of Munich, Germany

Abstract: Due to the fact that at the end of 2014 the Central Bank made the transition to a new monetary policy regime for Russia - the inflation targeting regime, the problem of forecasting inflation rates became more relevant than ever. In the new monetary policy regime, it is important for the Bank of Russia to estimate the future inflation rate as quickly as possible in order to take measures to return inflation to the target level. In addition, for effective monetary policy, the households must trust the actions of monetary authorities and they must be aware of the future dynamics of inflation. Thus, to manage inflationary expectations of economic agents, the Central Bank should actively use the information channel, publish accurate forecasts of consumer price growth. The aim of this work is to build a model for nowcasting, as well as short-term forecasting of the rate of Russian inflation using high-frequency data. Using this type of data in models for forecasting is very promising, since this approach allows to use more information about the dynamics of macroeconomic indicators. The paper shows that using MIDAS model with weekly frequency series (RUB/USD exchange rate, the interbank rate MIACR, oil prices) has more accurate forecast of monthly inflation compared to several basic models, which only use low-frequency data.

Keywords: инфляция; наукастинг; прогнозирование; высокочастотные данные; MIDAS модель (search for similar items in EconPapers)
JEL-codes: E31 E37 (search for similar items in EconPapers)
Date: 2020-08
New Economics Papers: this item is included in nep-ban, nep-cis, nep-isf and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/109556/1/prepint.pdf original version (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:pra:mprapa:109556

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2025-03-19
Handle: RePEc:pra:mprapa:109556