Моделирование динамической зависимости между валютным курсом и инфляцией в российской экономике 1995–2026 гг.

Никита Александрович Моисеев; Григорий Витальевич Айвазян

doi:10.17308/econ.2026.3/14215

Authors

Nikita A. Moiseev Russian Economic University after G.V. Plekhanov
Grigory V. Aivazian Russian Economic University after G.V. Plekhanov

DOI:

https://doi.org/10.17308/econ.2026.3/14215

Keywords:

dynamic correlation, TVP-correlation, DCC-GARCH, ARCH, rolling window, exchange rate pass-through, crisis periods, stationarity

Abstract

Subject. The dynamic relationship between monthly inflation and the rate of change of the USD/RUB exchange rate in the Russian economy over the period 1995-2026.
Purpose. To quantitatively assess the evolution of the correlation between these indicators, determine the temporal structure of the pass-through of exchange rate shocks to prices, and compare the results of three methodological approaches: the TVP-correlation algorithm, the DCC-GARCH model, and the rolling window estimation.
Methodology. We used ADF unit root tests and KPSS tests, calculated the cross‑correlation function with standard errors, obtained ARCH(1) estimates of the conditional variance of the factor series, and applied a Bayesian MCMC algorithm to obtain dynamic correlation trajectories with confidence intervals.
Results. An empirical analysis of a sample of 372 monthly observations showed that the exchange rate level is non-stationary, while its rate of change is stationary; the highest cross-correlation with inflation is achieved at a lag of one month (0.536) and remains significant over a horizon of up to five months. The dynamic correlation is highly unstable over time: periods of high values coincide with the crises of 1998, 2008-2009, 2014-2015, and 2022, whereas during phases of relative stability, the correlation decreases and can take negative values. A comparison of the methods revealed a moderate correlation of the TVP-correlation with the rolling window (r = 0.30) and the lack of a statistically significant relationship with DCC-GARCH (r = 0.05).
Conclusions. The relationship between the exchange rate and inflation in Russia has a non-linear, crisis-oriented nature. The results are applicable for short-term inflation forecasting and assessing the risks of exchange rate fluctuation transmission.

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Author Biographies

Nikita A. Moiseev, Russian Economic University after G.V. Plekhanov

Dr. Sci. (Econ.), Assoc. Prof.
Grigory V. Aivazian, Russian Economic University after G.V. Plekhanov

Postgraduate Student

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