Evaluating underlying inflation measures for Russia
Deryugina, Elena; Ponomarenko, Alexey; Sinyakov, Andrey; Sorokin, Constantine (18.08.2015)
Numero
24/2015Julkaisija
Bank of Finland
2015
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-201508201361Tiivistelmä
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.