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Stress indicator construction for internal money market

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  • Isakov , Alexander

    ()
    (Bank of Russia, Moscow, Russia)

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    Abstract

    In this article we propose a modification of time-series segmentation algorithm which allows to identify homogenous periods of money market history by clustering multidimensional probability distributions of relevant variables. We provide step-by-step instructions to systematically choose how many distinct states of the nominal variable is sufficient for precise description of the money market historical conditions and hint at variables which might be suitable for monitoring money market form a central bank’s point of view

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    File URL: http://pe.cemi.rssi.ru/pe_2013_2_77-92.pdf
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    Bibliographic Info

    Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

    Volume (Year): 30 (2013)
    Issue (Month): 2 ()
    Pages: 77-92

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    Handle: RePEc:ris:apltrx:0211

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    Web page: http://appliedeconometrics.cemi.rssi.ru/

    Related research

    Keywords: money market; time-series; segmentation; probability distribution clustering;

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    1. Robert Thorndike, 1953. "Who belongs in the family?," Psychometrika, Springer, vol. 18(4), pages 267-276, December.
    2. Donald W.K. Andrews & Inpyo Lee & Werner Ploberger, 1992. "Optimal Changepoint Tests for Normal Linear Regression," Cowles Foundation Discussion Papers 1016, Cowles Foundation for Research in Economics, Yale University.
    3. Berkes, Istv n & Gombay, Edit & Horv th, Lajos & Kokoszka, Piotr, 2004. "SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS," Econometric Theory, Cambridge University Press, vol. 20(06), pages 1140-1167, December.
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