Since 2015, the Bank of Russia has adopted inflation targeting as its monetary policy mechanism, which targets a 4% medium-term inflation rate based on the consumer price index measured by the Federal State Statistics Service (Rosstat). The monetary policy lag makes it impossible to control inflation within the lag horizon. That is why, as noted by Svensson (1997), in practice, central banks have to target future medium-term inflation and assess any price shocks from the viewpoint of the effects of these shocks on future inflation. The Bank of Russia is no exception in this case and, as it monitors price changes, it has to answer the following question: what does this price change mean for inflation in the medium term? In other words, the central bank seeks to identify the factors of observed inflation and make an inflation forecast (to take into account the effect of price shocks observed, and also price changes expected in the future). Specifically, the central bank should determine whether a change in the consumer price index that has been measured reflects a change in relative prices and, consequently, how long the relative price change will have its effect on future inflation and other macroeconomic variables, or whether the CPI change reflects a change in the overall price level and how in this case the central bank perceives inflation fundamentals in the medium term.