Stress indicator construction for internal money market
AbstractIn 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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Bibliographic InfoArticle provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.
Volume (Year): 30 (2013)
Issue (Month): 2 ()
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Web page: http://appliedeconometrics.cemi.rssi.ru/
money market; time-series; segmentation; probability distribution clustering;
Find related papers by JEL classification:
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
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- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- G19 - Financial Economics - - General Financial Markets - - - Other
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