Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia

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Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia. / Gilenko, Evgenii V. Gilenko ; Smelkov, Daniil V. .

In: Open Journal for Research in Economics, Vol. 2, No. 2, 10.2019, p. 55-64.

Research output: Contribution to journal › Article › peer-review

BibTeX

@article{342a02443ab64489a97b88f085abc382,

title = "Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia",

abstract = "The problem of inflation prediction has been in focus of monetary policies of both advanced and emerging economies for several decades. Specifically, this problem is very relevant to the modern monetary policy of the Russian Federation, even after a tremendous success of the Bank of Russia in struggling inflation after the national currency (ruble) crisis in 2014. As of recently, the forecasts of inflation made by the Russian monetary authorities have been showing quite significant discrepancy with the actual figures. This study is aimed at demonstration how the modern approaches of time-series econometrics can be used to significantly improve the quality of inflation prediction. Relevant policy recommendations are discussed.",

keywords = "inflation prediction, long-memory effects, autoregressive models, inflation prediction, long-memory effects, autoregressive models",

author = "Gilenko, {Evgenii V. Gilenko} and Smelkov, {Daniil V.}",

note = "Gilenko, E. V. Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia / E. V. Gilenko, D. V. Smelkov // Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia. - 2019. - Volume 2, Issue 2. - P. 55-64.",

year = "2019",

month = oct,

language = "English",

volume = "2",

pages = "55--64",

journal = "Open Journal for Research in Economics",

issn = "2620-102X",

publisher = "Center for Open Access in Science",

number = "2",

}

RIS

TY - JOUR

T1 - Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia

AU - Gilenko, Evgenii V. Gilenko

AU - Smelkov, Daniil V.

N1 - Gilenko, E. V. Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia / E. V. Gilenko, D. V. Smelkov // Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia. - 2019. - Volume 2, Issue 2. - P. 55-64.

PY - 2019/10

Y1 - 2019/10

N2 - The problem of inflation prediction has been in focus of monetary policies of both advanced and emerging economies for several decades. Specifically, this problem is very relevant to the modern monetary policy of the Russian Federation, even after a tremendous success of the Bank of Russia in struggling inflation after the national currency (ruble) crisis in 2014. As of recently, the forecasts of inflation made by the Russian monetary authorities have been showing quite significant discrepancy with the actual figures. This study is aimed at demonstration how the modern approaches of time-series econometrics can be used to significantly improve the quality of inflation prediction. Relevant policy recommendations are discussed.

AB - The problem of inflation prediction has been in focus of monetary policies of both advanced and emerging economies for several decades. Specifically, this problem is very relevant to the modern monetary policy of the Russian Federation, even after a tremendous success of the Bank of Russia in struggling inflation after the national currency (ruble) crisis in 2014. As of recently, the forecasts of inflation made by the Russian monetary authorities have been showing quite significant discrepancy with the actual figures. This study is aimed at demonstration how the modern approaches of time-series econometrics can be used to significantly improve the quality of inflation prediction. Relevant policy recommendations are discussed.

KW - inflation prediction

KW - long-memory effects

KW - autoregressive models

KW - inflation prediction

KW - long-memory effects

KW - autoregressive models

UR - https://centerprode.com/ojre/ojre0202/ojre-0202.html

M3 - Article

VL - 2

SP - 55

EP - 64

JO - Open Journal for Research in Economics

JF - Open Journal for Research in Economics

SN - 2620-102X

IS - 2

ER -

ID: 47783602