Evaluating underlying inflation measures for Russia

Elena Deryugina, Alexey Ponomarenko, Andrey Sinyakov and Constantine Sorokin

No 24/2015, BOFIT Discussion Papers from Bank of Finland Institute for Emerging Economies (BOFIT)

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.

JEL-codes: C32 E31 E32 E52 (search for similar items in EconPapers)
Date: 2015
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Related works:
Journal Article: Evaluating underlying inflation measures for Russia (2018)
Working Paper: Evaluating the underlying inflation measures for Russia (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofitp:bdp2015_024

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