The Phillips curve for an open economy: The evolution of inflation processes in Russia

IF 0.7 Q3 ECONOMICS Voprosy Ekonomiki Pub Date : 2023-12-05 DOI:10.32609/0042-8736-2023-12-103-119
A. Zubarev, A. M. Gorodnov
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Abstract

Modern specifications of the Phillips curve are actively used in the study of inflation dynamics, but many of them do not consider the influence of external variables. In this paper, we use a non-linear GMM to estimate the Phillips curve equation for a small open economy which includes the expected change in the exchange rate on Russian data. Estimates show that the assignment of the new head of the Bank of Russia in 2013 and the subsequent transition to the inflation targeting regime significantly reduced the impact of expectations of a change in the ruble exchange rate on inflation which confirms the efficiency of the modification of the monetary policy regime. Another interesting result is that the outbreak of the pandemic has again led to an increase in the impact of the expected change in the exchange rate on inflation which may be a result of increased uncertainty in import prices. The empirical results also show that the pandemic caused a decrease in price rigidity in the Russian economy while the transition to an inflation targeting regime did not affect price rigidity.
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开放经济的菲利普斯曲线:俄罗斯通货膨胀过程的演变
菲利普斯曲线的现代规范被积极用于暴胀动力学的研究,但其中许多没有考虑外部变量的影响。在本文中,我们使用非线性GMM来估计一个小型开放经济体的菲利普斯曲线方程,其中包括俄罗斯数据上汇率的预期变化。估计表明,2013年俄罗斯央行新行长的任命以及随后向通货膨胀目标制的过渡大大降低了卢布汇率变化预期对通货膨胀的影响,这证实了货币政策制度修改的有效性。另一个有趣的结果是,大流行病的爆发再次导致预期汇率变化对通货膨胀的影响增加,这可能是进口价格不确定性增加的结果。实证结果还表明,疫情导致俄罗斯经济的价格刚性下降,而向通胀目标制的过渡并未影响价格刚性。
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来源期刊
Voprosy Ekonomiki
Voprosy Ekonomiki ECONOMICS-
CiteScore
1.80
自引率
25.00%
发文量
86
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