The Central Bank of the Republic of Azerbaijan published staff research developing a trade-weighted Imported Food Price Index for monitoring and forecasting external food price pressures. The index leads Azerbaijan’s official food Consumer Price Index by about two months, with a peak correlation of 0.81, indicating that it could provide earlier evidence of imported inflation pressures. The index uses about 800,000 transaction-level customs records from January 2018 to February 2026 and covers 34 consumption-basket items with significant import dependence. A regime-conditioned machine-learning forecasting ensemble achieved an average out-of-sample R-squared of 58.10% against a random-walk benchmark, compared with 13.60% for an Autoregressive Distributed Lag model and 0.18% for an Autoregressive Integrated Moving Average with Exogenous Variables model. The research envisages incorporating the index and its forecasts into broader inflation models to improve short-term food price projections.
2026-09-03Central Bank of the Republic of Azerbaijan
Central Bank of the Republic of Azerbaijan publishes imported food price index research showing a two-month lead on food inflation
The Central Bank of the Republic of Azerbaijan published staff research on a customs-based Imported Food Price Index that leads official food inflation by about two months, with a peak correlation of 0.81. Its machine-learning forecasting model achieved an average out-of-sample R-squared of 58.10% against a random walk and is intended for use in broader inflation forecasting.