MODELING INFLATION IN ROMANIA: A MARKOV SWITCHING APPROACH

被引：0
|
作者：
Lupu, Dan [1 ]
机构：
[1] Alexandru Ioan Cuza Univ, Iasi, Romania
来源：
EURO AND THE EUROPEAN BANKING SYSTEM: EVOLUTIONS AND CHALLENGES | 2015年
关键词：
inflation; Markov model; regime;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this article, we modeled the phenomenon of inflation in Romania for the period 1990-2014, using the Markov switching model. The time series used are monthly CPI. The model has superior results then classical models of time series analysis, identifying precisely the rise and fall times of the inflation.
引用
收藏
页码：202 / 208
页数：7
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