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Money-based Inflation Risk Indicator:a regime Switching Model
https://doi.org/10.32609/0042-8736-2013-9-119-127
Abstract
We examine the relationship between probability of large fluctuations of inflation rate and monetary developments. With this purpose we identify the periods of high inflation regime for the cross-section of 15 transition economies. The obtained results are used to estimate the panel probit models that capture the relationship between probability of transition to a high inflation regime and money growth. We calculate the conditional probability of transition to a high inflation regime that may be regarded as a money-based inflation risk indicator for Russia.
About the Authors
E. Deryugina
Bank of Russia (Moscow, Russia)
Russian Federation
Russian Federation
A. Ponomarenko
Bank of Russia (Moscow, Russia)
Russian Federation
Russian Federation
References
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Review
For citations:
Deryugina E., Ponomarenko A. Money-based Inflation Risk Indicator:a regime Switching Model. Voprosy Ekonomiki. 2013;(9):119-127. (In Russ.) https://doi.org/10.32609/0042-8736-2013-9-119-127
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