2011年-IMF国际货币组织全球_Russian_Federation_Selected_Issues_Paper_90页_2mb

Summary of the Russian Federation: Selected Issues Paper

Core Content

This document, prepared by the International Monetary Fund (IMF) staff team, provides an in-depth analysis of inflation dynamics and monetary policy in the Russian Federation, focusing on the period up to August 4, 2011. It outlines key tools and models for inflation targeting, including core inflation measures and leading indicators models (LIMs), and discusses their implications for monetary policy.

Main Objectives

• To develop and analyze core inflation measures for better trend inflation tracking.
• To construct a leading indicators model for short-term inflation forecasting.
• To evaluate the effectiveness of these tools in informing monetary policy decisions.
• To assess the implications of these findings for inflation targeting and policy adjustments.

Key Findings

Core Inflation

• Definition: Core inflation aims to reflect trend inflation by excluding temporary price fluctuations.

• Types of Core Inflation Measures:

  • Exclusion method: Removes volatile items such as food and energy prices.
  • Trimmed mean method: Excludes extreme price movements from both ends of the distribution.
  • Moving average method: Averages headline inflation rates over time.

• Trimmed Mean Method Advantages:

  • More flexible and adaptive to changes in the price distribution.
  • Better captures trend inflation, especially when relative prices of volatile items change over time.
  • Less volatile than the Rosstat core inflation measure.

• Rosstat Core Inflation Issues:

  • More volatile than trimmed mean core inflation.
  • Sometimes more volatile than headline inflation, making it less suitable as a leading indicator.

• Estimation Results:

  • Trimmed mean core inflation was calculated using two methods: fixed-weight and standard deviation.
  • The fixed-weight method excluded 23% from the right tail and 41% from the left tail.
  • The standard deviation method excluded about 4.5% from the right and 4.1% from the left, totaling 8.6%.
  • The top ten most volatile components included food items and some services.

Inflation Forecasting: Leading Indicators Model

• Purpose: To identify leading indicators that can predict future inflation based on current economic variables.

• Leading Indicators Considered:

  • Interest rates (interbank 3-month offer rate, 5-year bond yield, deposit rate)
  • Asset prices (housing prices, equity index)
  • Real activity (real GDP, industrial production, unemployment)
  • Monetary aggregates (M2, monetary base, private sector credit)
  • External variables (US Federal Fund rate, world commodity prices, partner country inflation, oil prices, gold prices)
  • Exchange rates (RUB/$, NEER)
  • Others (government revenue, average wages, business confidence index)

• Model Results:

  • Lagged headline inflation, broad money growth, NEER appreciation, and food price inflation are leading indicators.
  • M2 growth is positively correlated with inflation with lags of 7–12 months.
  • Food price inflation has an immediate impact on headline inflation, with a coefficient close to its weight in the CPI basket.
  • The LIMs accurately predict turning points in inflation, such as the spikes in 2007, 2008, and 2010.

• Forecasting Accuracy:

  • The 12-month ex-post forecasts correctly predict the turning point of headline and core inflation in August 2010.
  • The 6-month forecasts also show strong accuracy in predicting the rise of inflation in the second half of 2010.
  • The model forecasts headline inflation at 8.0% and core inflation at 7.9% by end-2011, with a wider margin of error for core inflation.

• Key Risk to Inflation Outlook:

  • Food price inflation is the primary risk to inflation, especially if it rises in line with global prices (21.8% in May 2011).

Policy Implications

• The recent surge in inflation is not solely due to food price shocks, indicating broader inflationary pressures.
• The CBR's inflation target of 6–7% is unlikely to be met at the end of 2011.
• To bring inflation under control, the CBR may need to moderate M2 growth through limited foreign exchange market interventions and higher policy rates.
• The effects of such policy tightening are expected to be felt in 2012, given the 7–12 month transmission lag.
• The use of LIMs for detailed monetary policy analysis is limited due to the lack of explicit transmission mechanisms in the model.

Conclusion

The paper emphasizes the importance of using more accurate and less volatile core inflation measures and leading indicators models to support inflation targeting in Russia. It suggests that while the current core inflation measure (Rosstat) is not ideal, the trimmed mean method offers a more robust alternative. Additionally, the LIMs provide useful insights into inflation dynamics, highlighting the need for monetary policy adjustments to manage inflation effectively in the coming years.