A Novel Multi-Period and Multilateral Price Index
A novel approach to price indices, leading to an innovative solution in both a multi-period or a multilateral framework, is presented. The index turns out to be the generalized least squares solution of a regression model linking values and quantities of the commodities. The index reference basket, which is the union of the intersections of the baskets of all country/period taken in pair, has a coverage broader than extant indices. The properties of the index are investigated and updating formulas established. Applications to both real and simulated data provide evidence of the better index performance in comparison with extant alternatives.
Code (0)
등록된 구현이 없습니다.
Tasks
regressionSimilar Papers 제목 키워드 기반
International Comparisons: Multilateral Indices and Nonparametric Welfare Bounds
Multilateral index numbers, such as those used to make international comparisons of prices and income, are fundamental objects in economics. However, these numbers are often challenging to interpret in terms of economic …
Price impact without order book: A study of the OTC credit index market
We present a study of price impact in the over-the-counter credit index market, where no limit order book is used. Contracts are traded via dealers, that compete for the orders of clients. Despite this distinct microstru…
AttributeReliability of Ideal Indexes
The Fisher and GEKS are celebrated as ideal bilateral and multilateral indexes due to their superior axiomatic and econ-theoretic properties. The Fisher index is the main index used for constructing CPI by statistical ag…
Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context
This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of…
Sanction or Financial Crisis? An Artificial Neural Network-Based Approach to model the impact of oil price volatility on Stock and industry indices
In this paper, we model the impact of oil price volatility on Tehranstock and industry indices in two periods of international sanctions and post-sanction. To analyse the purpose of study, we use Feed-forward neural net-…