IDEAS home Printed from https://ideas.repec.org/p/rnp/wpaper/2138.html
   My bibliography  Save this paper

Modelling of Inflationary Processes in Russia

Author

Listed:
  • Egorov D.A.

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

  • Perevyshina E.A.

    () (Russian Presidential Academy of National Economy and Public Administration (RANEPA))

Abstract

This study is devoted to the analysis of two empirical approaches to modeling inflationary processes in Russia and abroad: the cost approach, and the Phillips curve. The authors examine the application of these approaches for the analysis of inflation factors in different countries, highlighting their strengths and weaknesses. Both approaches are used for the analysis of inflation in Russia in the 2000s. As part of the cost approach, a model for the consumer price index is estimated. Besides, various Phillips curve modifications are estimated for the consumer price index and various measures of economic activity (output gap, unemployment, unit labor costs). It is shown that the inflationary process in Russia is better described by the hybrid Phillips curve with output gap.

Suggested Citation

  • Egorov D.A. & Perevyshina E.A., 2016. "Modelling of Inflationary Processes in Russia," Working Papers 2138, Russian Presidential Academy of National Economy and Public Administration.
  • Handle: RePEc:rnp:wpaper:2138
    as

    Download full text from publisher

    File URL: ftp://w82.ranepa.ru/rnp/wpaper/2138.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 53.
    2. Maritta Paloviita, 2008. "Comparing alternative Phillips curve specifications: European results with survey-based expectations," Applied Economics, Taylor & Francis Journals, vol. 40(17), pages 2259-2270.
    3. Mary C. Daly & Bart Hobijn & Brian Lucking, 2012. "Why has wage growth stayed strong?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr2.
    4. Гафаров Булат Наилевич, 2011. "Кривая Филлипса И Становление Рынка Труда В России," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 15(2), pages 155-176.
    5. Sylvia Kaufmann & Peter Kugler, 2008. "Does Money Matter For Inflation In The Euro Area?," Contemporary Economic Policy, Western Economic Association International, vol. 26(4), pages 590-606, October.
    6. Richard Dennis, 2007. "Fixing the New Keynesian Phillips curve," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov30.
    7. Olivier Coibion & Yuriy Gorodnichenko, 2015. "Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 197-232, January.
    8. James H. Stock & Mark W. Watson, 2015. "Core Inflation and Trend Inflation," NBER Working Papers 21282, National Bureau of Economic Research, Inc.
    9. Roy H. Webb & Tazwell S. Rowe, 1995. "An index of leading indicators for inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 75-96.
    10. Jeremy Rudd & Karl Whelan, 2007. "Modeling Inflation Dynamics: A Critical Review of Recent Research," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 155-170, February.
    11. Laurence Ball & Sandeep Mazumder, 2011. "Inflation Dynamics and the Great Recession," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 337-405.
    12. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    13. Barbara Roffia & Andrea Zaghini, 2007. "Excess Money Growth and Inflation Dynamics," International Finance, Wiley Blackwell, vol. 10(3), pages 241-280, December.
    14. Sandra Tatierska, 2010. "Do Unit Labor Cost Drive Inflation in the Euro Area?," Working and Discussion Papers WP 2/2010, Research Department, National Bank of Slovakia.
    15. Benati, Luca, 2009. "Long run evidence on money growth and inflation," Working Paper Series 1027, European Central Bank.
    16. Gali, Jordi & Gertler, Mark & Lopez-Salido, J. David, 2001. "European inflation dynamics," European Economic Review, Elsevier, vol. 45(7), pages 1237-1270.
    17. Theodore M. Crone & N. Neil K. Khettry & Loretta J. Mester & Jason A. Novak, 2013. "Core Measures of Inflation as Predictors of Total Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 505-519, March.
    18. Gali, Jordi & Gertler, Mark & David Lopez-Salido, J., 2005. "Robustness of the estimates of the hybrid New Keynesian Phillips curve," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1107-1118, September.
    19. A. Kudrin., 2007. "Inflation: Recent Trends in Russia and in the World," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
    20. Olivier Gervais & Marc-André Gosselin, 2014. "Analyzing and Forecasting the Canadian Economy through the LENS Model," Technical Reports 102, Bank of Canada.
    21. Alexey Ponomarenko & Elena Vasilieva & Franziska Schobert, 2014. "Feedback to the ECB’s Monetary Analysis: The Bank of Russia’s Experience with Some Key Tools," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(2), pages 116-150, November.
    22. Amisano, Gianni & Fagan, Gabriel, 2013. "Money growth and inflation: A regime switching approach," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 118-145.
    23. Ben S. Bernanke, 2006. "Monetary aggregates and monetary policy at the Federal Reserve: a historical perspective," Speech 243, Board of Governors of the Federal Reserve System (U.S.).
    24. Robert J. Gordon, 2013. "The Phillips Curve is Alive and Well: Inflation and the NAIRU During the Slow Recovery," NBER Working Papers 19390, National Bureau of Economic Research, Inc.
    25. M. Kataranova., 2010. "Relationship between Exchange Rate and Inflation in Russia," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 1.
    26. Robert G. King & Mark W. Watson, 2012. "Inflation and Unit Labor Cost," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 111-149, December.
    27. Sbordone, Argia M., 2002. "Prices and unit labor costs: a new test of price stickiness," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 265-292, March.
    28. David Norman & Anthony Richards, 2010. "Modelling Inflation in Australia," RBA Research Discussion Papers rdp2010-03, Reserve Bank of Australia.
    29. Gali, Jordi & Gertler, Mark, 1999. "Inflation dynamics: A structural econometric analysis," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 195-222, October.
    30. Баранов А. О. & Сомова И. А., 2009. "Анализ Факторов Инфляции В России В Годы Экономических Реформ," Studies on Russian Economic Development Проблемы прогнозирования, CyberLeninka;Федеральное государственное бюджетное учреждение науки Институт народнохозяйственного прогнозирования Российской академии наук, issue 1, pages 111-124.
    31. Tödter, Karl-Heinz, 2002. "Monetary indicators and policy rules in the P-star model," Discussion Paper Series 1: Economic Studies 2002,18, Deutsche Bundesbank.
    32. Katarzyna Budnik & Michal Greszta & Michal Hulej & Oskar Krzesicki & Roza Lewinska & Karol Murawski & Michal Rot & Bartosz Rybaczyk, 2009. "An update of the macroeconometric model of the Polish economy NECMOD," NBP Working Papers 64, Narodowy Bank Polski, Economic Research Department.
    33. Sophocles N. Brissimis & Nicholas S. Magginas, 2008. "Inflation Forecasts and the New Keynesian Phillips Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 1-22, June.
    34. Y. Ponomarev & P. Trunin & A. Ulyukayev., 2014. "Exchange Rate Pass-through in Russia," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 3.
    35. Binner, J.M. & Tino, P. & Tepper, J. & Anderson, R. & Jones, B. & Kendall, G., 2010. "Does money matter in inflation forecasting?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4793-4808.
    36. James H. Stock & Mark W. Watson, 2010. "Modeling inflation after the crisis," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 173-220.
    37. Bruggeman, Annick & Camba-Méndez, Gonzalo & Fischer, Björn & Sousa, João, 2005. "Structural filters for monetary analysis: the inflationary movements of money in the euro area," Working Paper Series 470, European Central Bank.
    38. Manuel Ramos Francia & Alberto Torres García, 2006. "Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve," Working Papers 2006-15, Banco de México.
    39. R. Kapeliushnikov & A. Oshchepkov., 2014. "The Russian Labor Market: Paradoxes of Post-crisis Performance," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 7.
    40. Kurmann, Andre, 2005. "Quantifying the uncertainty about the fit of a new Keynesian pricing model," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1119-1134, September.
    41. O. Dmitrieva & D. Ushakov., 2011. "Demand-pull Inflation and Cost-push Inflation: Factors of Origination and Forms of Expansion," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 3.
    42. Oinonen, Sami & Paloviita, Maritta & Vilmi, Lauri, 2013. "How have inflation dynamics changed over time? : Evidence from the euro area and USA," Research Discussion Papers 6/2013, Bank of Finland.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:gam:jeners:v:10:y:2017:i:6:p:796-:d:101174 is not listed on IDEAS
    2. Wenqiang Sun & Yuhao Hong & Yanhui Wang, 2016. "Operation Optimization of Steam Accumulators as Thermal Energy Storage and Buffer Units," Energies, MDPI, Open Access Journal, vol. 10(1), pages 1-16, December.
    3. Soon, Byung Min & Thompson, Wyatt, 2016. "Measuring Non-Tariff Barriers by Combining Cointegration Tests and Simulation Models with an Application to Russian Chicken Imports," 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts 235738, Agricultural and Applied Economics Association.

    More about this item

    Keywords

    inflationary processes; Russian economy; hybrid Phillips curve; output gap;

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:rnp:wpaper:2138. See general 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: (RANEPA maintainer). General contact details of provider: http://edirc.repec.org/data/aneeeru.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.