The Bulletin of the Institute of Economics of the Russian Academy of Sciences № 4/2024.  Finance.

Anastasia M. Matevosova

student of the Faculty of Economics of Moscow State University, Senior Laboratory Assistant at the Center for International Macroeconomics Research and Foreign Economic Relations, Institute of Economics of the Russian Academy of Sciences, Moscow, Russia

ORCID: 0009-0004-7490-5248

HIGH-FREQUENCY MODELING OF THE IMPACT OF SANCTIONS ON INFLATION EXPECTATIONS OF THE RUSSIAN POPULATION

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Abstract

This article examines the impact of sanctions concerns on the inflation expectations of the Russian population during the period of large-scale sanctions in 2022–2023. Using the methods of text processing of data from posts and comments on the social network, indicators of inflation expectations and sanctions concern were built with a weekly frequency and then used in econometric modeling. By evaluating autoregressive models of the integrated moving average with generalized autoregressive conditional heteroscedasticity in residuals and exogenous regressors (ARIMA-X-GARCH-X), an attempt has been made to model both the value and volatility of inflation expectations. As a result, it was revealed that increased sanctions concern, other things being equal, leads to an increase in inflation expectations, but does not affect the uncertainty of the population regarding inflation expectations. Despite the detection of weak structural changes, the degree of impact of sanctions concern on the inflation expectations of the Russian population is relatively stable in the period from March 2022 to December 2023.

Keywords: inflation expectations, sanctions, indicator, AutoRegressive Integrated Moving Average (ARIMA), Generalized AutoRegressive Conditional Heteroskedasticity (GARCH).

JEL: C22, C55, C58, C82, D84, E31, F51

EDN: VYHHCE

DOI: https://doi.org/10.52180/2073-6487_ 2024_4_139_158

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Manuscript submission date: 22.07.2024 

For citation:

Matevosova A.M. High-Frequency Modeling of the impact of sanctions on inflation expectations of the Russian population // Vestnik Instituta Ekonomiki Rossiyskoy Akademii Nauk. 2024. № 4. Pp. 139-158. (In Russ.).  https://doi.org/10.52180/2073-6487_ 2024_4_139_158 EDN: VYHHCE

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