IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/69825.html

Azərbaycan Mərkəzi Bankının inflyasiya hədəfi: Baza yoxsa manşet inflyasiya?
[The target of the Central Bank of Azerbaijan: Core or headline inflation?]

Author

Listed:
  • Rahmanov, Ramiz
  • Adigozalov, Shaig
  • Huseynov, Salman

Abstract

Qarşısına inflyasiya hədəflənməsi (İH) rejiminə keçid məqsədi qoyan mərkəzi banklar həm də müvafiq qiymət indeksinin seçilməsi ilə bağlı qərar verməlidirlər. Bu qərar verilərkən bir sıra meyarlar nəzərə alınır, mövcud qiymət indeksləri arasında "fayda-itki" analizləri aparılır, hər birinin müqayisəli üstünlükləri aşkara çıxarılır. Bu məqalədə orta müddətli dövrdə İH rejiminə keçid etmək niyyətini açıqlayan AMB-nin siyasət hədəfi olaraq manşet yoxsa baza göstəricisini götürməsi məsələsi tədqiq edilir. Mövcud baza inflyasiya ilə yanaşı Bayez Dinamik Faktor modelindən istifadə etməklə yeni baza inflyasiya göstəricisi hesablanır, müxtəlif statistik testlər əsasında göstəricilərin adekvatlığı yoxlanılır. Qiymətləndirmələr göstərir ki, yeni baza inflyasiya göstəricisi inflyasiyanın uzun müddətli trend göstəricisi kimi qəbul oluna bilər. Mövcud göstərici isə qısa müddətli dövrdə tələb olunan statistik meyarları ödəyir. Nəticə olaraq qeyd olunur ki, qərarvermə prosesində AMB, trend göstəricisi kimi yeni baza inflyasiya göstəricisini əhəmiyyətli məlumat yükünə malik göstərici kimi nəzərə ala bilər. Bununla yanaşı hesab edirik ki, verilən pul siyasəti qərarlarının ictimaiyyət tərəfindən rahat anlaşılması üçün manşet inflyasiya göstəricisinin hədəf kimi götürülməsi məqsədəuyğun olardı. The central banks which aim to shift to inflation targeting framework have to make a decision regarding the price index they will target. However, before making the final decision, several criterias must be taken into consideration, “cost-benefit” analysis of existing price indices must be made and comparative advantages of each index must be revealed. The article discusses whether the Central Bank of the Republic of Azerbaijan plans to the medium run should target headline inflation or core inflation. Along with existing core inflation, using the Bayesian Dynamic Factor model, the new core inflation is calculated and furthermore, several statistical tests are applied to test adequacy of the new core inflation measure. The estimations show that the new core inflation can be used as an indicator of the long run trend of inflation, whereas the existing core inflation is a good indicator in the short run. The article concludes that in a decision making process, the Central Bank should use the new core inflation measure as a trend indicator since it contains much more information than the existing one. However, to make monetary policy decisions comprehensible to the public, it is recommended to target headline inflation

Suggested Citation

  • Rahmanov, Ramiz & Adigozalov, Shaig & Huseynov, Salman, 2013. "Azərbaycan Mərkəzi Bankının inflyasiya hədəfi: Baza yoxsa manşet inflyasiya? [The target of the Central Bank of Azerbaijan: Core or headline inflation?]," MPRA Paper 69825, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:69825
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/69825/1/MPRA_paper_69825.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. da Silva Filho, Tito Nícias Teixeira & Figueiredo, Francisco Marcos Rodrigues, 2011. "Has Core Inflation Been Doing a Good Job in Brazil?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 65(2), June.
    2. Otrok, Christopher & Whiteman, Charles H, 1998. "Bayesian Leading Indicators: Measuring and Predicting Economic Conditions in Iowa," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 997-1014, November.
    3. Necati Tekatli, 2010. "A New Core Inflation Indicator for Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 10(2), pages 9-21.
    4. repec:fgv:epgrbe:v:65:n:2:a:5 is not listed on IDEAS
    5. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
    6. M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
    7. Rachel Holden, 2006. "Measuring core inflation," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-7, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Santos, Sonia de Lucas & Rodríguez, María Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Application of factor models for the identification of countries sharing international reference-cycles," Economic Modelling, Elsevier, vol. 28(6), pages 2424-2431.
    2. Ritschl, Albrecht & Sarferaz, Samad, 2009. "Crisis? What Crisis? Currency vs. Banking in the Financial Crisis of 1931," CEPR Discussion Papers 7610, C.E.P.R. Discussion Papers.
    3. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    4. Goodness C. Aye & Rangan Gupta, 2019. "Macroeconomic Uncertainty And The Comovement In Buying Versus Renting In The Usa," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 93-121, September.
    5. Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
    6. Lukas Berend & Jan Pruser, 2024. "The Transmission of Monetary Policy via Common Cycles in the Euro Area," Papers 2410.05741, arXiv.org, revised Nov 2024.
    7. Mario Crucini & Ayhan Kose & Christopher Otrok, 2011. "What are the driving forces of international business cycles?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 156-175, January.
    8. Marco Del Negro & Christopher Otrok, 2005. "Monetary policy and the house price boom across U.S. states," FRB Atlanta Working Paper 2005-24, Federal Reserve Bank of Atlanta.
    9. Necati Tekatli, 2007. "Generalized Factor Models: A Bayesian Approach," UFAE and IAE Working Papers 730.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    10. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    11. Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2012. "The directional identification problem in Bayesian factor analysis: An ex-post approach," Economics Working Papers 2012-11, Christian-Albrechts-University of Kiel, Department of Economics.
    12. Tao Zeng & Yong Li & Jun Yu, 2014. "Deviance Information Criterion for Comparing VAR Models," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 615-637, Emerald Group Publishing Limited.
    13. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    14. Jackson, Laura E. & Owyang, Michael T. & Zubairy, Sarah, 2018. "Debt and stabilization policy: Evidence from a Euro Area FAVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
    15. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries: A FAVAR Model Under Bayesian Framework," Working Papers hal-04141045, HAL.
    16. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    17. Eickmeier, Sandra, 2007. "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
    18. Olfa Kaabia & Ilyes Abid, 2012. "Theoretical Channels of International,Transmission During the Subprime Crisis to OCDE Countries : A FAVAR Model Under Bayesian Framework," EconomiX Working Papers 2012-40, University of Paris Nanterre, EconomiX.
    19. Michal Brzoza-Brzezina & Jesús Crespo-Cuaresma, 2007. "Mr. Wicksell and the global economy: What drives real interest rates?," Working Papers 2007-06, Faculty of Economics and Statistics, Universität Innsbruck.
    20. Catherine Bruneau & Olivier de Bandt & Karim Barhoumi, 2010. "The International Transmission of House Price Shocks," PSE-Ecole d'économie de Paris (Postprint) hal-00665531, HAL.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:69825. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.