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Phillips Curve Estimation for Russia

Student: Pecherkina Kseniya

Supervisor: Lev Lyubimov , Oxana A. Malakhovskaya , Oxana A. Malakhovskaya

Faculty: Faculty of Economic Sciences

Educational Programme: Master

Year of Graduation: 2014

<p>This work provides attempts to estimate hybrid version of New Keynesian Phillips Curve with expectations proxied by VAR-based forecast. VAR-model for inflation, driving variable and the range of macroeconomic indicators provides identifying restrictions for structural parameters and instruments for the GMM-estimation of NKPC. The paper represents comparison of estimates based on VAR and non-VAR approach, investigates its sensitivity when the range of instrument varies. Empirical research is based on monthly macro data for Russia, which includes Consumer Price Index, Industrial production Index, M0, oil Brent price, credit rate and exchange rate for the period 2000 &ndash; 2014. The inference of this work refers that VAR-based forecast can be appropriate proxy for inflation expectation but on the second stage weak-instruments problem is still unsolved.&nbsp; Estimates of the structural parameters obtained in this paper are mostly insignificant, with wrong signs, or their values inappropriate. So, the question &nbsp;&lt;&lt;Which expectation dominates backward or forward-looking?&gt;&gt; &nbsp;is still on.</p>

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