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
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)