Detail publikace

Parameter Estimation for Dynamic Model of the Financial System

NOVOTNÁ, V. ŠTĚPÁNKOVÁ, V.

Originální název

Parameter Estimation for Dynamic Model of the Financial System

Typ

článek v časopise ve Scopus, Jsc

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

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

Autoři

NOVOTNÁ, V.; ŠTĚPÁNKOVÁ, V.

Rok RIV

2015

Vydáno

25. 12. 2015

Nakladatel

Mendel University in Brno

Místo

Brno

ISSN

1211-8516

Periodikum

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

Ročník

63

Číslo

6

Stát

Česká republika

Strany od

2051

Strany do

2055

Strany počet

5

URL

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

Plný text v Digitální knihovně

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/"
}