Publication detail

Parameter Estimation for Dynamic Model of the Financial System

NOVOTNÁ, V. ŠTĚPÁNKOVÁ, V.

Original Title

Parameter Estimation for Dynamic Model of the Financial System

Type

journal article in Scopus

Language

English

Original Abstract

Economy can be considered a large, open system which is influenced by fluctuations, both internal and external. Based on non-linear dynamics theory, the dynamic models of a financial system try to provide a new perspective by explaining the complicated behaviour of the system not as a result of external influences or random behaviour, but as a result of the behaviour and trends of the system's internal structures. The present article analyses a chaotic financial system from the point of view of determining the time delay of the model variables - the interest rate, investment demand, and price index. The theory is briefly explained in the first chapters of the paper and serves as a basis for formulating the relations. This article aims to determine the appropriate length of time delay variables in a dynamic model of the financial system in order to express the real economic situation and respect the effect of the history of factors under consideration. The determination of the delay length is carried out for the time series representing Euro area. The methodology for the determination of the time delay is illustrated by a concrete example.

Keywords

financial system, dynamic system, time delay, investment demand, interest rate, price index

Authors

NOVOTNÁ, V.; ŠTĚPÁNKOVÁ, V.

RIV year

2015

Released

25. 12. 2015

Publisher

Mendel University in Brno

Location

Brno

ISBN

1211-8516

Periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Year of study

63

Number

6

State

Czech Republic

Pages from

2051

Pages to

2055

Pages count

5

URL

https://acta.mendelu.cz/63/6/2051/

Full text in the Digital Library

http://hdl.handle.net/11012/203250

BibTex

@article{BUT119734,
  author="Veronika {Novotná} and Vladěna {Štěpánková}",
  title="Parameter Estimation for Dynamic Model of the Financial System",
  journal="Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis",
  year="2015",
  volume="63",
  number="6",
  pages="2051--2055",
  doi="10.11118/actaun201563062051",
  issn="1211-8516",
  url="https://acta.mendelu.cz/63/6/2051/"
}