OPEN JOURNAL FOR RESEARCH IN ECONOMICS (OJRE)
ISSN (Online) 2620-102X * ojre@centerprode.com
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Center for Open Access in Science (COAS) OPEN JOURNAL FOR RESEARCH IN ECONOMICS (OJRE) ISSN (Online) 2620-102X * ojre@centerprode.com |
Inflation Prediction Based on the “Long Memory” Effect: The Case of Russia
Evgenii V. Gilenko * e.gilenko@spbu.ru * ORCID: 0000-0001-6539-0212 * ResearcherID: G-9960-2013
St. Petersburg State University, Graduate School of Management, RUSSIAN FEDERATION
Daniil V. Smelkov * smelkovdaniil@gmail.com * ORCID: 0000-0002-6093-6797 * ResearcherID: Y-8977-2019
St. Petersburg State University, Graduate School of Management, RUSSIAN FEDERATION
Open Journal for Research in Economics, 2019, 2(2), 55-64 * https://doi.org/10.32591/coas.ojre.0202.01055g
Online Published Date: 5 October 2019
LICENCE: Creative Commons Attribution 4.0 International License.
ARTICLE (Full Text - PDF)
KEY WORDS: inflation prediction, long-memory effects, autoregressive models.
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.
CORRESPONDING AUTHOR:
Evgenii V. Gilenko, Graduate School of Management, St. Petersburg State University, 3 Volkhovskiy per., St. Petersburg, RUSSIAN FEDERATION. E-mail: e.gilenko@spbu.ru.
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