Stress indicator construction for internal money market

Alexander Isakov ()
Additional contact information
Alexander Isakov: Bank of Russia, Moscow, Russia

Applied Econometrics, 2013, vol. 30, issue 2, 77-92

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

Keywords: money market; time-series; segmentation; probability distribution clustering (search for similar items in EconPapers)
JEL-codes: C81 C82 C87 G19 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2013_2_77-92.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0211

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().