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عنوان انگليسي: Relationship between the benchmark interest rate and a macroeconomic indicator
عنوان فارسي: رابطه بین نرخ بهره ی معیار و یک شاخص اقتصاد کلان
منبع: Economic Modelling 38 (2014) 220–226 : 25-32
نويسندگان: Qihong Duan, YingWei, Zhiping Chen 
کلمات کليدي: Benchmark interest rate, Macroeconomic indicator, Poisson process, Stochastic intensit
تعداد صفحات: 7
قيمت: رايگان
سال پذيرش: 2014
سال انتشار: 2014

 

چکيده:

A Poisson process with stochastic intensity is utilized to model changes of a benchmark interest rate set by a Central Bank. We propose explicit formulas for estimators of parameters and the expectation of the intensity, based on observations of the process. Through comparing the intensity and an economic indicator, we can explore the pattern of the benchmark interest rate. Two empirical datasets are studied and the results reveal similarities and differences between the behavior and the goals of Central Banks.

 دانلود مقاله Relationship between the benchmark interest rate and a macroeconomic indicator

 

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Mon 18 Dec 2017 23:05