Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors
The consumer price index is a key indicator of the inflation level in Russia. It is important for the Central Bank and Government in decision-making process. There is a strong need for high-quality analysis and accurate forecast of this index. Modelling and forecasting of consumer price index as a k...
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| Format: | Article |
| Language: | Russian |
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Plekhanov Russian University of Economics
2018-01-01
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| Series: | Статистика и экономика |
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| Online Access: | https://statecon.rea.ru/jour/article/view/1196 |
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| author | A. K. Sapova |
| author_facet | A. K. Sapova |
| author_sort | A. K. Sapova |
| collection | DOAJ |
| description | The consumer price index is a key indicator of the inflation level in Russia. It is important for the Central Bank and Government in decision-making process. There is a strong need for high-quality analysis and accurate forecast of this index. Modelling and forecasting of consumer price index as a key indicator of inflation are relevant issues in current macroeconomic conditions. The article is dedicated to development of quality short-term forecast of consumer inflation level, with the impact of seasonal factor. Two classes of models (vector autoregression and time series models) are considered. It was shown that vector autoregression model of the dependency between consumer price index and nominal effective exchange rate is worse for the proposes of inflation forecast then non-linear model with structural components and conventional heteroscedasticity. The practical significance of this work is that the developed approach to the forecasting of the consumer price index adjusted of seasonal factor can be very helpful for the purpose of proper assessment and regulation of inflation. |
| format | Article |
| id | doaj-art-788463acd478408abf4f779dc191503c |
| institution | Kabale University |
| issn | 2500-3925 |
| language | Russian |
| publishDate | 2018-01-01 |
| publisher | Plekhanov Russian University of Economics |
| record_format | Article |
| series | Статистика и экономика |
| spelling | doaj-art-788463acd478408abf4f779dc191503c2025-08-20T03:34:45ZrusPlekhanov Russian University of EconomicsСтатистика и экономика2500-39252018-01-0106465810.21686/2500-3925-2017-6-46-581126Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factorsA. K. Sapova0Plekhanov Russian University of Economics, MoscowThe consumer price index is a key indicator of the inflation level in Russia. It is important for the Central Bank and Government in decision-making process. There is a strong need for high-quality analysis and accurate forecast of this index. Modelling and forecasting of consumer price index as a key indicator of inflation are relevant issues in current macroeconomic conditions. The article is dedicated to development of quality short-term forecast of consumer inflation level, with the impact of seasonal factor. Two classes of models (vector autoregression and time series models) are considered. It was shown that vector autoregression model of the dependency between consumer price index and nominal effective exchange rate is worse for the proposes of inflation forecast then non-linear model with structural components and conventional heteroscedasticity. The practical significance of this work is that the developed approach to the forecasting of the consumer price index adjusted of seasonal factor can be very helpful for the purpose of proper assessment and regulation of inflation.https://statecon.rea.ru/jour/article/view/1196inflationconsumer price indexeconometric modelstime series modelsvector autoregression modelsforecast |
| spellingShingle | A. K. Sapova Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors Статистика и экономика inflation consumer price index econometric models time series models vector autoregression models forecast |
| title | Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors |
| title_full | Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors |
| title_fullStr | Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors |
| title_full_unstemmed | Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors |
| title_short | Forecasting inflation based on the consumer price index, taking into account the impact of seasonal factors |
| title_sort | forecasting inflation based on the consumer price index taking into account the impact of seasonal factors |
| topic | inflation consumer price index econometric models time series models vector autoregression models forecast |
| url | https://statecon.rea.ru/jour/article/view/1196 |
| work_keys_str_mv | AT aksapova forecastinginflationbasedontheconsumerpriceindextakingintoaccounttheimpactofseasonalfactors |