Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5054370 | Economic Modelling | 2014 | 7 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Qihong Duan, Ying Wei, Zhiping Chen,