MODELLING INFLATION AS A RANDOM PROCESS

S. Rawal and G. J. Rodgers
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S. Rawal: Department of Mathematical Sciences, Brunel University, Uxbridge, Middlesex UB8 3PH, UK
G. J. Rodgers: Department of Mathematical Sciences, Brunel University, Uxbridge, Middlesex UB8 3PH, UK

International Journal of Theoretical and Applied Finance (IJTAF), 2003, vol. 06, issue 08, 821-827

Abstract: We introduce a model of inflation in which the prices of commodities are inflated by a random process. At each time step a pricexis selected with a rate ofxαand is inflated by a factor of1/βwhere0 0, in the long time limit, only the highest price inflates. Forα

Keywords: Inflation; power-laws; scaling; JEL classification code 02.50.cw; 05.40.-a; 89.75Hc (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1142/S0219024903002225

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