For Russia, it might be 10%-17% for 1 quarter and 50%-70% for 4 quarters.
figure 1: Year-on-year nominal trade-weighted ruble depreciation (brown), year-on-year CPI inflation (blue), both calculated as log differences. The red dotted line for the annexation of Crimea. Source: BIS, OECD via FRED, and author’s calculations.
In the past week, the ruble has depreciated by about 36% in logarithmic value. What does this mean for CPI?
From IU Ponomarev, P. Trunin & A. Ulyukaev (2016) Exchange Rate Pass-through in Russia, Economic Transition Issues, 58:1, 54-72; 100% change in exchange rate causes 10% change in CPI after 1 quarter, in It would cause a 48% change after 4 quarters.
This study uses data from 2000-2012. This means that it does not include depreciation for 2014.
From Comunale, M. and Simola, H., 2018. Pass-through to consumer prices in the CIS economies: The role of exchange rates, commodities and other common factors. International Business and Financial Studies, 44, pp. 186-217; From 1999 to 2014, a 100% change in the trade-weighted exchange rate of the seven CIS countries resulted in a 13%-17% change in CPI after 1 quarter and a 51%-68% change after 4 quarters. Note that removing Russia results in a slightly higher pass rate, so this suggests a slightly lower pass rate and sample of Russians using this method.
This study covers only the earliest part of 2014 depreciation.
What will happen to inflation? If the pass rate in Q4 is around 0.5, then if the current level of the ruble continues, a 36% depreciation would result in a price level 18% higher than otherwise. This will be added to the January inflation rate of 1% m/m (not on an annual basis).
