Title :
Inflation Rate Generator Based on VAR Model
Author_Institution :
Dept. of Ecnomics, Shandong Jiaotong Univ., Jinan, China
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;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2011 Fourth International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4577-1541-9
DOI :
10.1109/BIFE.2011.70
