会议专题

Inflation Rate Generator Based on VAR Model

Inflation rate is the important input variables of a financial enterprise risk management. This paper used Consumer Price Index instead of inflation rate to established an inflation generator. Consumer Price Index was involved in a Vector Autoregression model which used 1997.01-2011.02 monthly Consumer Price Index data. By using of criterion of Akaike information criterion and Schwarz Criterion, the lag phrase was determined as 3-order. As a result, we got a simulations which is to be proved very fitted by back testing.

inflation Consumer Price Index Vector Autoregression model assets liability management

Sha Ni

Department of Ecnomics, Shandong Jiaotong University, Ji-nan, 250357, Shandong,China

国际会议

2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

武汉

英文

325-327

2011-10-17(万方平台首次上网日期,不代表论文的发表时间)