Template-Type: ReDIF-Paper 1.0

Author-Name: Elena Deryugina
Author-Email: DeryuginaEB@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Alexey Ponomarenko
Author-Email: PonomarenkoAA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Andrey Sinyakov
Author-Email: SinyakovAA@cbr.ru
Author-Workplace-Name: Bank of Russia, Russian Federation

Author-Name: Konstantin Sorokin
Author-Email: constantine.sorokin@gmail.com
Author-Workplace-Name: NRU-HSE, Russian Federation



Title:  Evaluating the underlying inflation measures for 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.

Length: 42 pages
Creation-Date: 2015-03
Revision-Date:
Publication-Status:
File-URL: http://www.cbr.ru/Content/Document/File/87551/wps_4_e.pdf
File-Format: Application/pdf
File-Function:
Number:wps4
Classification-JEL: E31, E32, E52, C32
Keywords: Underlying inflation, core inflation, monetary inflation, dynamic factor model, Russia
Handle: RePEc:bkr:wpaper:wps4