Relationship between the benchmark interest rate and a macroeconomic indicator

Qihong Duan, Ying Wei and Zhiping Chen

Economic Modelling, 2014, vol. 38, issue C, 220-226

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.

Keywords: Benchmark interest rate; Macroeconomic indicator; Poisson process; Stochastic intensity (search for similar items in EconPapers)
JEL-codes: C33 E43 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:38:y:2014:i:c:p:220-226

DOI: 10.1016/j.econmod.2014.01.002

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