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Money-based inflation risk indicator for Russia: a structural dynamic factor model approach

Author

Listed:
  • Elena Deryugina
  • Alexey Ponomarenko

Abstract

The authors estimate a dynamic factor model for the cross-section of monetary and price indicators for Russia. They extract the common part of the dataset's fluctuations and decompose it into structural shocks. 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 the finding, recent inflationary developments in Russia are decomposed into those that are associated with changes in monetary stance and other shorter-lived shocks. The analysis in this paper is based on the course material taught in the CCBS course: 'Applied Bayesian Econometrics for central bankers'.Â

Suggested Citation

  • Elena Deryugina & Alexey Ponomarenko, 2013. "Money-based inflation risk indicator for Russia: a structural dynamic factor model approach," Joint Research Papers 3, Centre for Central Banking Studies, Bank of England.
    • Handle: RePEc:ccb:jrpapr:3
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    Cited by:

    1. Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Constantine Sorokin, 2018. "Evaluating underlying inflation measures for Russia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 11(2), pages 124-145, May.
    2. Korishchenko, Konstantin (Корищенко, Константин) & Pilnik, Nikolay (Пильник, Николай) & Ivanova, Maria (Иванова, Мария), 2018. "Identifying the Main Determinants of Consumer Price Growth in the Russian Economy Under the Inflation Targeting Policy [Выявление Основных Детерминант Роста Потребительских Цен В Российской Экономи," Working Papers 041834, Russian Presidential Academy of National Economy and Public Administration.

    More about this item

    Keywords

    Money-based; inflation; Russia; structural dynamic factor model;
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