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Structural changes in Russian inflation model
 
PIIS042473880008529-0-1
DOI10.31857/S042473880008529-0
Publication type Article
Status Published
Authors
Boris Brodsky 
Occupation: Head of Laboratory
Affiliation: Central Economics and Mathematics Institute, Russian Academy of Sciences
Address: Moscow, Russian Federation
Alexander Bereznyatzkiy
Affiliation:
Central Economics and Mathematics Institute, Russian Academy of Sciences
Russia
Address: Russian Federation
Journal nameEkonomika i matematicheskie metody
EditionVolume 56 Issue 2
Pages90-100
Abstract

Hypothesis of structural changes in regression models of Russian inflation is tested in the paper. For testing this hypothesis and for estimation of instants of structural changes a new nonparametric method of the retrospective change-point detection in multivariate non-stationary econometric models is used. As initial data for this method we used official time series of consumer price index, indices of foodstuffs, non-food goods, paid services, and industrial production price index. Application of the nonparametric retrospective change-point detection method to regressions, calibrated for price indexes in Russia with period 1995–2018 gives some change points which can be classified by corresponding events in Russian economy at the time such as the Russian crisis of 1998, Tax Legislation reforms of 2000, world economic crises of 2008 and 2014 year.

Keywordsconsumer price index; producer price index; inflation; break-point; nonparametric; non-stationary
Received12.04.2020
Publication date11.06.2020
Number of characters27133
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