Evaluating Underlying Inflation Measures for Russia

31 Pages Posted: 21 Aug 2015

See all articles by Elena Deryugina

Elena Deryugina

Bank of Russia

Alexey A. Ponomarenko

Central Bank of Russia

Andrey Sinyakov

Bank of Russia

Constantine Sorokin

National Research University Higher School of Economics (Moscow)

Date Written: August 18, 2015

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 interpretable.

Keywords: underlying inflation, core inflation, monetary inflation, dynamic factor model, Russia

JEL Classification: E31, E32, E52, C32

Suggested Citation

Deryugina, Elena and Ponomarenko, Alexey A. and Sinyakov, Andrey and Sorokin, Constantine, Evaluating Underlying Inflation Measures for Russia (August 18, 2015). BOFIT Discussion Paper No. 24/2015, Available at SSRN: https://ssrn.com/abstract=2648112 or http://dx.doi.org/10.2139/ssrn.2648112

Elena Deryugina

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Alexey A. Ponomarenko (Contact Author)

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

HOME PAGE: http://http.//www.cbr.ru

Andrey Sinyakov

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Constantine Sorokin

National Research University Higher School of Economics (Moscow) ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

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