BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 24/2015:
Evaluating underlying inflation measures for Russia
Elena Deryugina ()
, Alexey Ponomarenko ()
, Andrey Sinyakov ()
and Constantine Sorokin ()
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.
Keywords: underlying inflation; core inflation; monetary inflation; dynamic factor model; Russia; (follow links to similar papers)
JEL-Codes: C32; E31; E32; E52; (follow links to similar papers)
31 pages, August 18, 2015
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