DocumentCode
2904296
Title
Inflation Rate Generator Based on VAR Model
Author
Ni, Sha
Author_Institution
Dept. of Ecnomics, Shandong Jiaotong Univ., Jinan, China
fYear
2011
fDate
17-18 Oct. 2011
Firstpage
325
Lastpage
327
Abstract
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 Auto regression 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.
Keywords
autoregressive processes; inflation (monetary); pricing; risk management; Akaike information criterion; Schwarz criterion; VAR model; consumer price index; financial enterprise risk management; inflation rate generator; vector auto regression model; Economic indicators; Indexes; Mathematical model; Predictive models; Reactive power; Vectors; Consumer Price Index; Vector Autoregression model; assets liability management; inflation;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4577-1541-9
Type
conf
DOI
10.1109/BIFE.2011.70
Filename
6121149
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