Modelling inflation dynamics: a Bayesian comparison between GARCH and stochastic volatility

Le, Hai

doi:10.1080/1331677x.2022.2096093

Cited by 1 publication

(2 citation statements)

References 31 publications

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“…Modeling the labor market [55,56] Modeling the money market [57,58] Financial market models [59,60] Forecasting currency crises and financial risks [61,62] 10. Modeling inflation Modeling inflation [63,64] Impact of inflation on production [65,66] 11. Mathematical models of state regulation of the economy…”

Section: Mathematical Models Of Market Economymentioning

confidence: 99%

“…The effect of inflation volatility on inflation itself is captured by the parameter λ: when λ > 0, inflation uncertainty has a positive impact on the inflation rate; when λ < 0, inflation uncertainty has a negative impact on the inflation rate; and when λ = 0, inflation uncertainty has no impact on the inflation rate and, thus, this specification reduces to the standard GARCH model [63,64].…”

Section: Mathematical Models Of Market Economymentioning

confidence: 99%

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A Review of Mathematical Models of Macroeconomics, Microeconomics, and Government Regulation of the Economy

et al. 2023

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This review analyzes articles on the mathematical modeling of economic facts and processes. Mathematical modeling of the economy has rapidly developed in the past and current centuries. This is explained by the fact that, firstly, economics does not tolerate full-scale experiments, secondly, mathematical modeling significantly improves the accuracy of research results, and, finally, thirdly, economics becomes a science only when it is based on mathematics. The article presents an overview of the main methods of economic modeling used in scientific research over the past twenty years. The review does not claim to cover all areas, methods, and models used in scientific research in the field of economics. This cannot be done in one article. Mathematical modeling of only three sections of economic theory is considered: macroeconomics, microeconomics, and state regulation of the economy. The review of research methods and models in the microeconomics section, which are available in the scientific research toolkit but have already been described in the macroeconomics section, has been omitted. Only effective, practice-tested models are used in the Review. We hope that this review will be useful to scientists involved in the indirect study of economic phenomena and processes.

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