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Evaluating underlying inflation measures for Russia

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  • Deryugina, Elena
  • Ponomarenko, Alexey
  • Sinyakov, Andrey
  • Sorokin, Constantine

Abstract

​We apply several tests to the underlying inflation metrics used in practice by central banks and/or proposed in the scientific literature, in an attempt to find the best-performing indicators. We find that although there is no single best measure of underlying inflation, indicators calculated on the basis of dynamic factor models are generally among the best performers. These best performers not only outdid the simpler traditional underlying indicators (trimmed and exclusion-based measures) but also proved to be economically meaningful and inter-pretable.

Suggested Citation

  • Deryugina, Elena & Ponomarenko, Alexey & Sinyakov, Andrey & Sorokin, Constantine, 2015. "Evaluating underlying inflation measures for Russia," BOFIT Discussion Papers 24/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    • Handle: RePEc:zbw:bofitp:bdp2015_024
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    Cited by:

    1. Elena Deryugina & Alexey Ponomarenko, 2020. "Disinflation and Reliability of Underlying Inflation Measures," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(1), pages 91-111, March.
    2. Elena Deryugina & Natalia Karlova & Alexey Ponomarenko & Anna Tsvetkova, 2019. "The role of regional and sectoral factors in Russian inflation developments," Economic Change and Restructuring, Springer, vol. 52(4), pages 453-474, November.
    3. Vadim Napalkov & Anna Novak & Andrey Shulgin, 2021. "Variations in the Effects of a Single Monetary Policy: The Case of Russian Regions," Russian Journal of Money and Finance, Bank of Russia, vol. 80(1), pages 3-45, March.
    4. Alexey Ponomarenko, 2016. "Measuring Domestically Generated Inflation," Bank of Russia Working Paper Series note2, Bank of Russia.

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    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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