Money-based inflation risk indicator for Russia: a structural dynamic factor model approach
AbstractThe authors estimate a dynamic factor model for the cross-section of monetary and price indicators for Russia.Â They extract the common part of the dataset's fluctuations and decompose it into structural shocks.Â 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.Â 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.Â The analysis in this paper is based on the course material taught in the CCBS course: 'Applied Bayesian Econometrics for central bankers'.Â
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Centre for Central Banking Studies, Bank of England in its series Joint Research Papers with number 3.
Date of creation: Apr 2013
Date of revision:
Contact details of provider:
Postal: Threadneedle Street, London, EC2R 8AH
Phone: +44 (020) 7601 4444
Fax: +44 (020) 7601 5460
Web page: http://www.bankofengland.co.uk/education/Pages/ccbs/default.aspx
More information through EDIRC
Money-based; inflation; Russia; structural dynamic factor model;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
- NEP-CBA-2013-08-05 (Central Banking)
- NEP-CIS-2013-08-05 (Confederation of Independent States)
- NEP-MAC-2013-08-05 (Macroeconomics)
- NEP-MON-2013-08-05 (Monetary Economics)
- NEP-TRA-2013-08-05 (Transition Economics)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maria Brady).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.